Down K. Measuring market risk[M]. Chi Chester: John Wiley & Sons Press, 2005.
[2]
Chung I Y, Lu J R, Lee P H. Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions[J]. Applied Financial Economics, 2007, 17(13): 1051-1060.
[3]
Agnolucci P. Volatility in crude oil futures: a comparison of the predictive ability of GARCH and implied volatility models[J]. Energy Economics, 2009, 31(2): 316-321.
[4]
Kupiec P. Techniques for verifying the accuracy of risk measurement models[J]. Journal of Derivatives, 1995, 3(2): 173-184.
[5]
Engle R F, Manganelli S. CAViaR: Conditional autoregressive Value at Risk by regression quantiles [J]. Journal of Business and Economic Statistics, 2004, 22(3): 367-381.
[6]
Christofferson P F. Elements of financial risk management [M]. San Diego: Academic Press, 2003.
[7]
Artzner P, Delbaen F, Eber J M, et al. Thinking coherently [J]. Risk, 1997, 10(11): 68-71.
[8]
Artzner P, Delbaen F, Eber J M, Heath D. Coherent measures of risk[J]. Mathematical Finance, 1999, 9(3): 203-228.
Bouchaud J P, Potters M. Theory of financial risk: From statistical physics to risk management [M]. Cambridge: Cambridge University Press, 1999.
[16]
Yamai Y, Yoshiba T. Value-at-Risk versus excepted shortfall: a practical perspective [J]. Journal of Banking and Finance, 2005, 29(4): 997-1015.
[17]
Robert J E, Hong M. VaR and excepted shortfall: a non-normal regime switching framework [J]. Quantitative Finance, 2009, 9(6): 747-755.
[18]
Abderrahim T. Analytical value-at-risk and excepted shortfall under regime switching [J]. Financial Research Letters, 2009, 6 (1): 138-151.
[19]
Lennart H, Herman K. Bayesian forecasting of Value at Risk and expected shortfall using adaptive importance sampling[J]. International Journal of Forecasting, 2010, 26(2): 231-247.
[20]
Mcneil A J, Frey R. Estimation of tail related risk measures for heteroscedastic financial time series: an extreme value approach[J]. Journal of Empirical Finance, 2000, 7(3-4): 271-300.
[21]
Engle R F, Patton A. What good is volatility model?[J] . Quantitative Finance, 2001, 1(2): 237-245.