2Bangia, D , F X Diebold, T Schuermann and J D Stroughair, "Modeling Liquidity Risk, With Implication for Traditional Market Risk Measurement and Management", 1998, working paper, Wharton Financial Institutions Center.
3Bertsimas, D and A W Lo, "Optimal Control of Execution Costs" [J]. Journal of Financial Markets, 1998, 1, 1-50.
4Dowd, Kevin, Beyond Value at Risk [M]. 1998, New York, John Wiley & Sons.
5Duffie, D and J Pan, "An Overview of Value at Risk" [J]. Journal of Derivatives, 1997, 4 (3) :7-49.
6Hisata, Yoshifumi and Yasuhiro Yamai, "Research Toward the Practical Application of Liquidity Risk Evaluation Methods", 2000, working paper, Bank of Japan.
7Holthausen, R W , R W Leftwich, and D.Mayers, "The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis" [J]. Journal of Financial Economics, 1987, 19, 237-268.
8Jarrow, R and A Subramanian, "Mopping up Liquidity" [J]. Risk, 1997, December: 170-173.
9Simons, Katerina, "The Use of Value at Risk by Institutional Investors" [J]. New England Economic Review, 2000, Nov/Dec, 21-30.
10Jorion, Philippe, "Risk: Measuring the Risk in Value at Risk" [J]. Financial Analysts Journal,1996, November-December: 47-55.
7Jobson J D, Korkie B M o Performance hypothesis testing with the sharpe and treynor measures[J].Journal of Finance, 1981,4 : 889-908.
8Cvitanic J, Lazrak A, Wang T. Implications of the Sharpe ratio as a performance measure in multi- period settings[J]. Journal of Economic Dynamics and Control,2008,32(5) : 1622-1649.
9Bangia A, et al. Modeling liquidity risk with implications for traditional market risk measurement and management[Z]. The Wharton Financial Institutions Center, 1999 : 98- 109.
10Hisata Y, Yamai Y. Research toward the practical application of liquidity risk evaluation methods[Z]. Bank of Japan,2000:48-65.