| Reference: | Alexander J. McNeil , (1999),” Extreme Value Theory for Risk Managers” working paper, 1999.
Dacorogna, M., U. Müller, O. Pictet and C. de Vries, (1995), “The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets”, Social Science Research Network.
Danielsson, J. and C. de Vries(2000), “Value-at-Risk and Extreme Returns”, Annales d`Economie et de Statistique, pp.239-270.
Fisher, R. and L. Tippett (1928), “Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample,” Proceedings of the Cambirdge Philosophical Society, 180-190
Ghosh, S (1989)，” Extreme value theory : a non-standard approach”
Gilli,M. , KÄellezi,E.,(2006), An Application of Extreme Value Theory for Measuring Financial Risk 1Computational Economics 27(1), 2006, 1-23.
Huisman, R., K. Koedijk, C. Kool and F. Palm, (1997), “Fat Tails in Small Samples”, Social Science Research Network.
Huisman, R., K. Koedijk, C. Kool and F. Palm, (1998), “The Fat-Tailedness of FX Returns”, Working Paper, Limburg Institute of Financial Econimics, Maastricht University, 1-31.
Huisman, R., K. Koedijk and R. Pownall, (1998) “VaR-x: Fat Tails in Financial Risk Management”, Journal of Risk, 1, pp.47-62.
Huisman, R., K. Koedijk, C. Kool and F. Palm, (2001), “Tail-Index Estimates in Small Samples”, Journal of Business & Economic Statistics, 19(2), pp.208-216
Hill, B.M. (1975), “A Simple General Approach to Inference about the Tail of a Distribution”, Annals of Statistics 3, 1163-1174
Hall, P. (1982), “On Some Simple Estimates of an Exponent of Regular Variation,” Journal of the Royal Statistical Society, 44, 37-42
Husler, J. ,Reiss, R.D.(1987) “Extreme value theory : proceedings of a conference held in Oberwolfach”, Dec. 6-12, 1987
Jondeau, E. and Rockinger, M. (2001), “Testing for Differences in the Tails of Stock-Marker Returns,” Working Paper Series, 1-17
Jorion, Philippe( 1997). “VALUE AT RISK: The New Benchmark for Controlling Market Risk.” IRWIN publishing.
Koedijk, K. and R. Pownal, (1999), “Capturing Downside Risk in Financial Markets: the Case of the Asian Crisis”, Journal of International Money and Finance, 18, pp.853-870
Koedijk, K., M. Schafgans and Casper G. de Vries (1990), “The Tail Index of Exchange Rate Returns,” Journal of International Economics, 29, 93-108
Koedijk, K., P. Stork and Casper G. de Vries (1992), “Differences between foreign exchange rate regimes: the view from the tails,” Journal of International Money and Finance, 11, 462-473
Kupiec, P. (1995), “Techniques for Verifying the Accuracy of Risk Measurement Models”, The Journal of Derivatives, winter, pp. 73-84.
Longin, F. M. (1996), “The Asymptotic Distribution of Extreme Stock Market Returns”, Journal of Business 69, 383-408
Muller, Ulrich A., Dacorogna, Michel M. and Olivier V. Pictet (1996), “Heavy tails in high-frequency financial data,” Working Paper Series, 1-23.
Pickands, J., (1975), “Statistical Inference Using Extreme Order Statistics”, The Annals of Statistics, 3(1), pp.119-131
Sean D. Campbell(2005),” A Review of Backtesting and Backtesting Procedures”
陳學華,楊輝耀(2003),「應用極值理論和APARCH模型估測股市風險」, 《中華管理評論國際學報》2003年10月Vol.6, No.5
陳佩鈴(2002),「匯率條件風險值之估計與比較」, 中原大學國際貿易學系碩士學位論文
陳炎信(1999),「考慮極端事件之VaR風險管理模式」銘傳大學金融研究所碩士論文
邱正仁,高蘭芬,盧素珍(2003), 「從財務報表揭露探討我國金融機構衍生性金融商品之操作」, 《中華管理評論國際學報》2003年4月Vol.6,No.2
黃玉娟 林帛靜,「期貨市場報酬分配之厚尾型態與風險值衡量模式之探討－臺灣臺指期貨與新加坡摩根臺指期貨」, 國立高雄第一科技大學財務管理系
林楚雄, 陳宜玫(2002),「台灣股票市場風險值估測模型之實證研究」,《管理學報第》2002年Vol.19,No.4 ,p.737-p.758
林楚雄,高子荃,邱瓊儀(2004),「結合GARCH模型與極值理論的風險值模型」, 《管理學報》2005年,Vol.22,No.1,133-154
林志坤(2006),「VaR-x在股票、外匯及投資組合之應用」,國立政治大學財政所碩士論文
莊筑因,許溪南,「新興風險管理工具—風險值（VaR）之探討」,國立成功大學企管系碩士論文
施能仁(2003),「金融商品投資風險評估之研究-以VaR模型之歷史模擬法為主」,中原大學會計學系碩士論文
蒲建亨(2001),「整合VaR 法之衡量與驗證∼以台灣金融市場投資組合為例」,國立政治大學國際貿易學所碩士論文
王雅玲(2003),「外匯極值行為之研究」, 國立高雄第一科技大學財務管理所碩士論文
游依霖(2004) ,「在小樣本下,利用極端值理論衡量作業風險」,東吳大學經濟學系碩士論文
曾耀慶(2002),「銀行隔夜拆款風險值模型估測之研究─ 歷史模擬法」,高雄第一科技大學財務管理學系碩士論文 |
