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題名:外匯投資組合之風險值評估--分量迴歸的應用
書刊名:中原企管評論
作者:李沃牆 引用關係柯中偉
作者(外文):Lee, Wo-chiangKe, Zhong-wei
出版日期:2011
卷期:9:1
頁次:頁97-116
主題關鍵詞:分量迴歸風險值投資組合回溯測試Quantile regressionVaRPortfolioGARCHBack testing
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(3) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:47
期刊論文
1.Chen, M. Y.、Chen, J. E.(2005)。Application of Quantile Regression to Estimation of Value at Risk。Review of Financial Risk Management,1(2),1-15。  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.Hansen, P. R.、Lunde, A.(2005)。A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?。Journal of Applied Econometrics,20(7),873-889。  new window
4.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
5.Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives,4(3),50-62。  new window
6.Hendricks, Darryll(1996)。Evaluation of Value-at-Risk Models Using Historical Data。Federal Reserve Bank of New York Economic Policy Review,2(1),39-69。  new window
7.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
8.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
9.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
10.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
11.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
12.Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society,46(1),33-50。  new window
13.Evans, John L.、Archer, Stephen H.(1968)。Diversification and the reduction of dispersion: An empirical analysis。Journal of Finance,23,761-767。  new window
14.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
15.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review,39(4),841-862。  new window
16.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。  new window
17.Ma, J、Nelson, C. R.、Startz, R.(2007)。Spurious Inference in Teh GARCH (1,1) Model When It Is Weakly Identified。Studies in Nonlinear Dynamics and Econometrics,11(1),Article1。  new window
18.Taylor, J. W.(1999)。A Quantile Regression Approach to Estimating the Distribution of Multipeeriod Returns。Journal of Derivatives,7,64-78。  new window
研究報告
1.Engle, Robert F.、Manganelli, Simone(1999)。CAViaR: Conditional Value at Risk by Quantile Regerssion。  new window
學位論文
1.洪瑞成(2002)。風險值之探討-對稱與不對稱波動GARCH模型之應用(碩士論文)。淡江大學。  延伸查詢new window
2.許傑翔(2004)。多變量財務時間數列模型之風險值計算。東吳大學。  延伸查詢new window
3.陳志偉(2005)。外匯投資組合風險值之估計--DCC多變量GARCH模型之應用。淡江大學。  延伸查詢new window
4.林淑蓉(2006)。風險值與風險管理策略之研究。國立中央大學。  延伸查詢new window
圖書
1.Morgan, J. P.(1995)。Riskmetrics Technical Manual。New York, NY:J. P. Margan。  new window
2.Bera, A. K.、Roh, J. S.(1991)。A Moment Test of the Consistency of the Correlation in the Bivariate GARCH Model。Mimeo, Department of Economics。  new window
其他
1.Engle, Robert F.,Kroner, Kenneth F.(1991)。Multivariate Simultaneous Generalized ARCH。  new window
 
 
 
 
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