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題名：Mitigating Tail-fatness, Lepto Kurtic and Skewness Problems in VaR Estimation via Markov Switching Settings--An Empirical Study on Major TAIEX Index Returns
書刊名：中國財務學刊
作者：林修葳 引用關係／饒秀華 引用關係／黎明淵 引用關係
作者(外文)：Lin, Hsiou-wei／Rau, Hsiu-hua／Li, Ming-yuan
出版日期：1999
卷期：7:3
頁次：頁61-94
主題關鍵詞：馬克夫轉換模型；風險值；Markov-switching models；Value at risk
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:18
期刊論文
1.Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives，21(2)，2-13。  new window
2.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives，4(3)，7-49。  new window
3.Hamilton, J. D.(1991)。A quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions。Journal of Business and Economic Statistics，9，27-39。  new window
4.Beder, T. S.(1995)。VAR Seductive but Dangerous。Financial Analysts Journal，51(5)，12-24。  new window
5.Cai, J.(1994)。A Markov model of unconditional variance in ARCH。Journal of Business and Economic Statistics，12，309-316。  new window
6.Estrella, A.、Hendricks, D.、Kambhu, J.、Shin, S.、Walter, S.(1994)。The price risk of options positions: Measurement and capital requirement。Federal Reserve Bank of New York Quarterly Review，27-43。  new window
7.Jackson, P.、Maude, D. J.、Peerraudin, W.(1997)。Bank capital and value at risk。Journal of Derivatives，73-89。  new window
8.Simons, K.(1996)。Value at risk--New approach to risk management。New England Economic Review，3-13。  new window
9.Hamilton, J. D.、Susmel, R.(1994)。Autoregressive conditional heteroscedasticity and changes in regime。Journal of Econometrics，64，307-333。  new window
10.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
11.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
12.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
13.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
會議論文
1.Li, M. Y.、Lin, H. W.(1999)。Examining TSE security return variability via a three-volatility-regime Markov-switching model。The Seventh Conference on Pacific Basic Finance, Economics and Accounting。  new window
研究報告
1.Ho, C. Y.、Lin, H. W.(1999)。Explores the relative strength and weakness of Two-Limit Tobit model。  new window
2.Liao, Y. C.(1998)。Managing the market risk: using the technique of orthogonal GARCH of value at risk。  new window
3.Uong, T. Y.、Chen, W. H.(1998)。A quantitative approach "VAR" to measure the market risk of bank currency positions。  new window
4.Wang, J. J.、Chen, W. H.(1998)。Introduction and Applications on Value-at-Risk。  new window
圖書
1.Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。  new window
2.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
其他
1.J. P. Morgan(1995)。RiskMetrics，www.jpmorgan.com。  new window
 
 
 
 
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