| Reference: | 一、國外部份
1.Alexander, C. O. and Leigh, C. T., 1997. "On the Covariance Matrics Used in Value at Risk Models," The Journal of Derivatives. Vol:4 Number3, pp.50-62.
2.Bollerslev,T., 1986. "Generalized Autoregressive Conditional Hetero-scedasticity", Journal of Econometrics, V31, pp.307-327.
3.Barone-Adesi, G., Giannopoulos K. and Vosper L., 1999 "VaR Without Correlations for Portfolios of Derivative Securities", Journal of Futures Markets 19 (April), pp.583-602.
4.Duffie, Darrell and Pan, Jun 1997. “An Overview of Value at Risk.” The Journal of Derivatives, spring, pp.7-49.
5.Davidson, A.C. and Hinkley, D.V., 1997. Bootstrap Methods and their application, Cambridge University Press.
6.Efron, B. and Tibshirane, R.J., 1993. An Introduction to Bootstrap,Chapman & Hall.
7.Hendricks, D., 1996. "Evaluation of Value at Risk Models Using Historical Data", Economics Policy Review, pp.39-70.
8.Hull, J. and White, A., 1998. "Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk", Journal of Risk, Fall.
9.McNeil, A. J. and Frey, R., 2000, "Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach", Journal of Empirical Financial, Autumn.
10.Jorion, P., 1997. "Value at risk: the new benchmark for controlling market risk”, The McGraw-Hill Companies. Inc. Publication.
二、國內部份
1.江義玄（2000），「投資組合之風險評價：新模擬方法的運用」，國立政治大學企業管理研究所碩士論文。
2.李進生 等（2001），風險管理：風險值（VaR）理論與應用，台北：清蔚。
3.張士杰（1999），「運用拔靴複製法構建VaR 估計量之分配」，銘傳大學金融研究所碩士論文。
4.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研究所碩士論文。 |
