| Reference: | 一、中文部分
1.周裕峰 (2001)，「結合波動性時間序列模式與極端值理論之涉險值評估模式」，未出版碩士論文，銘傳大學金融研究所。
2.王永慶 (2001)，「參數型與半參數型極端涉險值模型之估計及其於壓力測試上之應用」，未出版碩士論文，銘傳大學金融研究所。
3.王君文 (2001)，「極值理論風險值評估模式之探討」，未出版碩士論文，中正大學財務金融研究所。
4.周業熙 (2002)，「GARCH-type 模型在VaR 之應用」，未出版碩士論文，東吳大學經濟研究所。
5.楊佩珍 (2002)，「運用極值理論評估風險值－以台灣股匯市為例」，未出版碩士論文，中央大學財務金融研究所。
6.徐嘉彬 (2002)，「極值理論動態風險值模型研究」，未出版碩士論文，中正大學財務金融研究所。
二、英文部分
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15.McNeil, A.J.(1999),“Extreme value theory for risk managers.”, Internal Modelling and CAD II published by RISK Book.
16.McNeil, A,J, and R. Frey(2000),“Estimation of tail-related risk measures forheteroscedastic financial time series: an extreme value approach.”,Journal of Empirical Finance,7, pp. 271-300.
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19.Tsay, R.S.(2002),“ Analysis of Financial Time Series.”,John Wiley & Sons, New York.
20.Wang, S. S.(1999),“Aggregation of Correlated Risk Portfolios: Models & Algorithms.”,CAS Committee on Theory of Risk,Working Paper. |
