6Danielsson J, De Vries C G. Value-at-Risk and extreme returns[J]. Annals d'Economie et de Statistique, 2000, 60: 239-269. 被引量:1
7Bystrom H N E. Managing extreme risks in tranquil and volatile markets using conditional extreme value theory[J]. International Review of Financial Analysis, 2004, 13:133-152. 被引量:1
8Fernandez V. Risk management under extreme events[J]. International Review of Financial Analysis, 2005, 14: 113-148. 被引量:1
9Jorion P. Risk: Measuring the risk in value at risk[J]. Financial Analyst Journal, 1996, 52: 47-56. 被引量:1
10Huschens S. Confidence intervals for value at risk[J]. Risk Measurement, Econometrics and Neural Networks, 1997:233-244. 被引量:1