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金融风险管理研究进展:国际文献综述 被引量:42

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出处 《管理世界》 CSSCI 北大核心 2006年第4期158-169,共12页 Journal of Management World
基金 国家自然科学基金项目部分资助(国家杰出青年基金基金号:70325001/G0206和重点项目基金号:70432002)
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参考文献198

  • 1Acharye, V., Bharath, S. and Srinivasan, A., 2003 ,Understanding the Recovery Rates on Defaulted Securities, CEPR Discussion paper No.4098.
  • 2Ahmed, P. and Swidler, S., 1998, "The Relation Between the Informational Content of Implied Volatility and Arbitrage Costs: Evidence from the Oslo Stock Exchange",International Review of Economics & Finance, Vol.7, No.4, pp.465-480.
  • 3Ait-Sahalia, Y, and Mykland, P., 2005, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise", NBER Working Paper No. W9611.
  • 4Alexander, S., Coleman, T. and Li, Y., 2006, "Minimizing CVaR and VaR for a Portfolio of Derivatives", Journal of Banking & Finance, Vol.30, pp.583-605.
  • 5Alexander, C., 1998, "Risk Management and Analysis:vol. I: Measuring and Modeling", John Wiley & Sons.
  • 6Allayannis, G. and Ofek, E., 2001, "Exchange Rate Exposure,Hedging and the use of Foreign Currency Derivatives",Journal of International Money and Finance, Vol.20, Iss.2, pp.273-296.
  • 7Allen, F. and Gale, D., 2000, "Bubbles and Crisis", The Economic Journal, 110, pp.236-56.
  • 8Altman, E., Brady, B., Resti, A. and Sironi, A., 2001,"Analyzing and Explaining Default Recovery Rates", ISDA Research Report, London, December.
  • 9Altman, E,, Brady, B., Resti, A, and Sironi, A., 2005,"The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications", Journal of Business, Vol.78, pp.2203-2228.
  • 10Altman, E., Resti, A. and Sironi, A., 2004, "Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence", Economic Notes MPS, Vol.33, No.2-2004, pp.183-208.

二级参考文献122

  • 1郭其友.关于经济发达国家与发展中国家金融自由化的比较研究[J].经济评论,1999(5):79-81. 被引量:4
  • 2何小松,徐长生.对促进我国货币市场建设的思考[J].武汉金融,1999(9):10-12. 被引量:4
  • 3李红权,马超群.基于分形理论的资本市场非线性研究框架[J].财经理论与实践,2004,25(5):49-52. 被引量:6
  • 4米什金.货币金融学(第四版)[M].中国人民大学出版社,1998..
  • 5陈岱孙 厉以宁.国际金融学说史[M].北京:中国金融出版社,1997..
  • 6Andersen T G,Bollerslev T,Diebold F,Labys P. Exchange rate returns standardized by realized volatility are (nearly) Gaussian[J]. Multinational Finance Journal,2000,4:159~179.
  • 7Andersen T G,Bollerslev T,Diebold F,Labys P. The distribution of exchange rate volatility[J]. Journal of American Statistical Association,2001,96:42~55.
  • 8Andersen T G,Bollerslev T,Diebold F,Ebens H. The distribution of stock return volatility[J]. Journal of Financial Economics,2001,61:43~76.
  • 9Andersen T G,Bollerslev T,Diebold F,Labys P. Modelling and forecasting realized volatility[J]. Econometrica,2003, 71(2):579~625.
  • 10Blair B J,Poon S H,Tarlor S J. Forecasting S&P 100 volatility:the incremental information content of implied volatilities and high frequency index returns[J]. Journal of Econometrics,2001,105:5~26.

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二级引证文献360

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