1. 林劭杰,2008,市場風險—現代風險衡量方法,台灣金融研訓院。
2. 高子荃、詹淑慧,2010,”臺灣資訊電子業之廠商規模與成長: 外人直
接投資、技術差距、財務結構效果之分量分析”,經濟研究,46卷,1
期,頁69-101。
3. 陳建良、管中閔,2006,“台灣工資函數與工資性別歧視的分量迴歸分
析”,經濟論文,43 卷,4期,頁435-468。
4. 張簡彰程、林楚雄、曾正杰,2008,” 風險矩陣波動修正之風險值估計”,輔仁管理評論,15卷,2期,頁61-82。
5. 莊家彰、管中閔,2005,“台灣與美國股市價量關係的分量迴歸分析”,
經濟論文,33 卷,4期,頁379-404。
6. 謝劍平,2007,現代投資學分析與管理,智勝。
7. Akgiray, V., 1989, “Conditional Heteroscedasticity in Time Series of
Stock Returns Evidence and Forecasts”, Journal of Business, vol.62,
pp.55-80.
8. Alexander, C.O., and C.T. Leigh, 1997, “On the Covariance Matrices
Used in Value at Risk Models”, Journal of Derivatives, pp.50-62, spring.
9. Artzner, P., F. Delbaen, J. M. Eber, and D. Heath, 1997, “Thinking
Coherently”, Risk ,vol.10, pp.68-71.
10. Artzner, P., F. Delbaen, J. M. Eber, and D. Heath, 1999, “Coherent
Measure of Risk”, Mathematical Finance, vol.9(3), pp.203-228.
11. Bali, T.G., and P. Theodossiou, 2007, “A Conditional-SGT-VaR Approach
with Alternative GARCH Models”, Annals of Operations Research,
vol.151, pp.241-267.
12. Basak, S. and A. Shapiro, 2001, “Value-at-Risk Based Risk Management:
Optimal Policies and Asset Prices”, The Review of Financial Studies, vol.
14(2), pp.371-405.
13. Benari, Y. 1991, “When Is Hedging Foreign Assets Effective?”, Journal of
Portfolio Management, vol.18(1), pp.66-71.
14. Biglova, A., T.Jasic, S. Rachev, and F. J. Fabozzi, 2004, “Profitability of
Momentum Strategies: Application of Novel Risk/Return Ratio Stock
Selection Criteria”, Investment Management and Financial Innovations,
vol.4, pp.47-61.
15. Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate
Liabilities”, Journal of Political Economy, vol.81, pp.637-659.
16. Black, F., 1976,“Studies of Stock Price Volatility Changes”,Proceeding
of the1976 Meetings of the Business and Economics Statistics Section,
American Statistical Association, pp.177-181.
17. Bodie, Z., A. Kane, and A. Marcus, 2002, Investments(fifth edition), Mc
Graw-Hill.
18. Bollerslev, T., 1986, “Generalized Autoregressive Conditional
Heteroskedasiticity”, Journal of Econometrics, vol.31, pp.307-327.
19. Bollerslev, T., R. Engle, and J. M. Wooldrige, 1988,“A Capital Asset
Pricing Model with Time Varying Covariances”, Journal of Political
Economy, vol. 96(1), pp. 116-31.
20. Bollerslev, T., R. P Chou and K. F. Kroner, 1992. “ARCH Modeling in
Finance”, Journal of Economics, vol.52, pp.5-59.
21. Boudoukh, J., M. Richardson, and R. Whitelaw, 1997, “Investigation of a
Class of Volatility Estimators”, Journal of Derivatives, vol.4, pp.63-71.
22. Braccia, J. A., 1995, “An Analysis of Currency Overlays for U.S. Pension
Plans”, Journal of Portfolio Management, vol. 22(1), pp.88-93.
23. Campbell, J.Y., M. Lettau, B.G., Malkiel, and Y. Xu, 2001, “Have
Individual Stock Become More Volatile? An Empirical Exploration of
Idiosyncratic Risk " , The Journal of Finance, vol.56(1), February,
pp.1-43.
24. Chen M. Y., and J.E.Chen., 2005, “Application of Quantile Regression to
Estimation of Value at Risk”, Review of Financial Risk Management,
vol.1(2), pp.1-15.
25. Chiu, C.L., M.C. Lee., and J.C. Hung, 2005, “ Estimation of
Value-at-Risk under Jump Dynamics and Asymmetric Information”,
Applied Financial Economics, vol.15(5), pp. 1095-1106.
26. Chopra, V. K., and W. T. Ziemba, 1993, “The Effect of Errors in Means,
Variance, and Covariances on Optimal Portfolio Choice”, Journal of
Portfolio Management, vol.19(2), pp. 6-11.
27. Chou S.R., A. Chien., C.C. Changchien and C.H. Wu, 2010, “A
Comparison of the Forecasting Volatility Performance on EWMA Family
Models”, International Research Journal of Finance and Economics,
vol.54, pp.19-28.
28. Christie, A. A., 1982, “The Stochastic Behavior of Common Stock
Variances: Value, Leverage and Interest Rate Effects”, Journal of
Financial Economics, vol.10, pp.407-432.
29. Dahlquist, M., and R. H. Campbell, 2001, “Global Tactical Asset
Allocation,” The Journal of Global Capital Market, vol.5 (1), pp.6-14.
30. Dowd, K., 2005, Measuring Market Risk (second edition), JOHN WILEY
& Sons.
31. Dunis, C. L. and N. Levy, 2002, “Do Exotic Currencies Improve the
Risk-Adjusted Performance of Dynamic Currency Overlays?”, Journal of
Asset Management, vol.2 (4), pp.336-352.
32. Ederington, L.H. and W. Guan, 2005, “ Forecasting Volatility" , The
Journal of Future Markets, vol.20, pp.465-490.
33. Embrechts, P., R. Kaufmann., and P. Patie, 2005, “Strategic Long-Term
Financial Risks: Single Risk Factors”, Computational Optimization and
Applications, vol.32, pp.61–90.
34. Engle, R. F,1982, “Autoregressive Conditional Heteroskedasticity with
Estimates of the Variance of United Kingdom Inflation”, Econometrica,
vol.50, pp. 987-1007.
35. Engle, R. F. and S. Manganelli, 2004, “CAViaR: Conditional
Autoregressive Value at Risk by Regression Quantiles”, Journal of
Business and Economic Statistics, vol. 22, pp. 367-381.
36. Fabozzi, F. J. and J. C. Francis, 1977, “Stability Tests for Alphas and
Betas over Bull and Bear Market Conditions”, Journal of Finance, vol.32,
pp.1093-1099.
37. Fama, E., 1965. “The Behavior of Stock Market Prices”, Journal of
Business, vol.38, pp. 34-105.
38. French, K.R., G. W. Schwert., and R.F. Stambaugh,1987, “Expected
Stock Return s and Volatility”, Journal of Financial Economics, vol.19,
pp.3-30.
39. Gemmill, G., 1986, “How Useful Are Implied Distributions? Evidence
From Stock Index Options”, Journal of Derivatives, vol. 7(3), pp.83-96.
40. Giamouridis, D. and I.Ntoula, 2009, “A Comparison of Alternative
Approach for Determining the Downside Risk of Hedge Fund Strategies”,
The Journal of Futures Markets, vol. 29(3), pp.244-269.
41. Grubel, H. G. 1968, “Internationally Diversified Portfolios: Welfare
Gains and Capital Flows”, American Economic Review, vol. 58,
pp.1299-1314.
42. Guermat, C. and R.D.F. Harris, 2002. “Robust Conditional Variance
Estimation and Value-at-Risk”, Journal of Risk, vol.4, pp. 25-41.
43. Harris, R. D. F., and J. Shen, 2003, “Robust Estimation of the Optimal
Hedge Ratio”, Journal of Futures Markets, vol.23, pp.779-816.
44. Harris, R. D. F., and J. Shen, 2004, “Estimation of VaR with
Bias-Corrected Forecasts of Conditional Volatility”, Journal of
Derivatives, vol. 11(4), pp.10-20.
45. Hendricks, D. 1996, “Evaluation of Value-at-Risk Models Using
Historical Data”, Economics Policy Review, vol.2(1), pp.39-69
46. Hull, J. and A. White, 1998, “Value at Risk When Daily Changes in
Market Variables Are Not Normally Distributed”, The Journal of
Derivatives, vol.5, pp. 9-19.
47. Jorion, P. 1989, “Asset Allocation with Hedged and Unhedged Foreign
Stocks and Bonds”, Journal of Portfolio Management, vol. 15, pp.49-54.
48. Jorion, P. 1996, “Risk2: Measuring the Risk in Value at Risk”, Financial
Analysts Journal, Nov/Dec, pp.47-56.
49. Jackson, P., D. Maude, and W. Perraudin, 1997, “Bank Capital and
Value-at-Risk”, Journal of Derivatives, vol.4(2), pp.73-90.
50. Jorion, P. 2000, Value at Risk: The New Benchmark for Managing
Financial Risk , The McGraw-Hill Companied Inc.
51. Jorion, P. 2005, Value at Risk: The New Benchmark for Managing
Financial Risk (2nd Ed), The McGraw-Hill Companied Inc.
52. Koenker, R. and K.F. Hallock, 2001, “ Quantile Regression: An
Introduction" ,Journal of Economic Perspectives, vol.51, pp.143-56.
53. Kroner, R. and G. Bassett,1978, “Regression quantiles”, Econometrica,
vol.46, pp. 33-55.
54. Lee, T. H., and B. Saltoglu, 2001, “Evaluating Predictive Performance
of Value-at-Risk Models in Emerging Markets: A Reality Check " ,
working paper, Marmara University.
55. Leibowitz, M.L., and S. Kogelman, 1991, “Assets Allocation under
Shortfall Constraints”, Journal of Portfolio Management, winter,
pp.18-23.
56. Levy, H., and M. Sarnat, 1970, “International Diversification of
Investment Portfolios”, American Economic Review, vol. 60(4),
pp.668-675.
57. Linsmeier, T. J., and N. D. Pearson, 1996, “Risk Measurement: An
Introduction to Value at Risk”, working paper, University of Illinois at
Urbana-Champaign, United States.
58. Lynch, P., 2008, Beating the Street, Wealth Magazine.
59. Kupiec, P., 1995, “Technique for Verifying the Accuracy of Risk
Measurement Models”, Journal of Derivatives, vol.3, pp.73-84.
60. Mandelbrot, B., 1963, “The Variation of Certain Speculative Prices”,
Journal of Business, vol.36, pp. 394-419.
61. Marimoutou, V., B. Raggad, and T. Abdelwahed, 2009, “Extreme Value
Theory and Value at Risk: Application to Oil Market”, Energy Economics,
vol.31, pp.519-530.
62. Markowitz, H. M. 1952, “Portfolio Selection”, Journal of Finance, vol. 7,
pp.77-91.
63. Martin, R. D., S. Rachev, and F. Siboulet, 2003, “Phi-Alpha Optimal
Portfolios and Extreme Risk Management”, Willmot Magazine of Finance,
vol.6, pp.70-83.
64. Miyakoshi, T., 2003, “Spillovers of Stock Return Volatility to Asian
Equity Markets from Japan and the US”, Journal of International
Financial Markets Institution and Money, vol.13, pp.383-399.
65. Morgan, J.P., 1996, Riskmetrics Technical Document (4th Ed.), New
York.
66. Park, B.J., 2002, “On the Quantile Regression Based Tests for Asymmetry
in Stock Return Volatility”, Asian Economic Journal, vol. 16(2),
pp.175-192.
67. Poon, S.H. and W.J.C. Granger, 2003, “Forecasting Volatility in Financial
Market: A Review”, Journal of Economic Literature, vol.41(2),
pp.478-539.
68. Poterba, J.M. and L.H. Summers,1986, “The Persistence of Volatility and
Stock Market Fluctuations”, American Economic Review, vol.76,
pp.1142-1151
69. Rachev, S., T. Jasic, S. Stoyanov, and F.J. Fabozzi, 2007, “Momentum
Strategies Based on Reward-Risk Stock Selection Criteria”, Journal of
Banking & Finance, vol. 31, pp.2325-2346.
70. Rockafellar, R. T. and S. Uryasev, 2002, “Conditional Value-at-Risk for
General Loss Distributions”, Journal of Banking and Finance, vol.26,
pp.1443-1471.
71. Schwert, G. W.,1990a, “Stock Market Volatility”, Financial Analyst
Journal, vol.46, pp.23-34.
72. Solnik, B. (1974), “Why Not Diversify Internationally Rather than
Domestically ?” , FinancialAnalyst Journal, pp.48-52.
73. Taylot, J.W., 1999, “A Quantile Regression Approach to Estimating the
Distribution of Multiperiod Returns”, The Journal of Derivatives, vol.7,
pp.64-78.
74. Taylot, J.W., 2008, “Using Exponentially Weighted Quantile Regression
to Estimate Value at Risk and Expected Shortfall”, Journal of Financial
Econometrics, vol.6, pp.382-406.
75. Tsay, R., 2000, “Time Series Forecasting: Brief History and Future”,
Journal of the American Statistical Association, vol.95, pp.638-643.
76. Uryasev, S., 2000, “Conditional Value at Risk: Optimization Algorithms
and Applications”, Financial Engineering News, vol.14, pp.1-5.
77. Winston, K. J. and Bailey, 1996, “Investment Policy Implications of
Currency Hedging”, Journal of Portfolio Management, vol. 22(4),
pp.50-57.
78. Yamai, Y. and T. Yoshiba, 2002, “On The Validity of Value-at-Risk:
Comparative Analysis with Expected Shortfall”, Monetary and Economic
Studies, vol. 20(1), pp.57-86.
79. Zhu D.M. and J.W.Galbraith, 2009, “Forecasting Expected Shortfall with
A Generalized Asymmetric Student-t Distribution”, working paper.