外文参考文献

外文参专文献

1. Andersen, L. and Andreasen, J. (2000 )“Volatility Skews and Extensions of the LIBOR Market Model”,Applied Mathematical Finance, 7(1):1—32.

2. Andersen, T. G. , Bollerslev, T. , Diebold, F. X. and Ebens, H.(2001)“ The Distribution of Stock Return Volatility”, Journal of Financial Economics, 61(1):43—76.

3. Andersen, T. G. , Bollerslev, T. , Diebold, F. X. and Ebens, H. (2001)“ The Distribution of Realized Exchange Rate Volatility”, Journal of the American Statistical Association ,96(453): 42—55.

4. Andersen, P. K. , Gill, R. , Borgan, 0. and Keiding, N.(1997)Statistical Models Based on Counting Processes(NewYork:Springer).

5. Andersson, E. , Bock, B. and Frisen ,M. (2005)“Statistical Surveillance of Cyclical Processes with Application to Turns in Business Cycles", Journal of Forecasting, 24(2):465—490.

6. Anson, M.(2004),“Strategic versus Tactical Asset Allocation",Journal of Portfolio Management, Winter 2004, 8—22.

7. Ala ton, P. , Djehiche, B. and Still berger, D.(2002)“On Modelling and Pricing Weather Derivatives ”, Applied Mathematical Finance , 9(1):1—20.

8. Alexander, C.(2003)Operational Risk: Regulation, Analysis and Management(London:FT Prentice-Hall).

9. Allayannis, G. and Ofek, E.(2001),“Exchange Rate Exposure, Hedging and the Use of Foreign Currency Derivatives",Journal of Iηteηational Money and Finance, 20, 273—296.

10. Artzner,P., and Delbaen,F., Eber, J.M. and Heath, D.(1999)“Coherent Measures of Risk", Mathematical Finance, 9(3):203—228.

11. Ayres, H. R. and Barry, J. Y.(1980)“A Theory of the U. S. Treasury Market Equilibrium", Management Science, 26(6):539—569.

12. Baele, L.(2005)“Volatility Spillover Effects in European Equity Markets", Journal of Financial and Quantitative Analysis, 40(2):373—401.

13. Balkema, A. A. and de Haan, L.(1974)“Residual Life Time at Great Age”, Annals of Probability, 2:792—804.

14. Bangia, A. , Diebold, F. X. , Kronimus, A. , Schlagen,C. and Schuermann, T.(2002)“Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing", Journal of Banking and Finance, 26(2/3):445—474.

15. Banz, R.(1981)“ The Relationship Between Return and Market Value of Common Stocks", Journal of Financial Economics,9(1):3—18.

16. Barndorff-Nielsen, O. E. and Shephard, N.(2002)“Econometric Analysis of Realized Volatility and Its Use in Es ti mating Stochastic Volatility Models", Journal of the Royal Statistical Society, Ser. B, 64(2):253—280.

17. Barndorff-Nielsen, O. E. and Shephard, N.(2004)“Econometric Analysis of Realized Covariation:High Frequency Based Covariance, Regression and Correlation in Financial Economics”,Econometrica,72(3):885—925.

18. Bartov, E. and G. Bodnar(1994),“Firm valuation,earnings expections and the exchange rate exposure effect ”,Journal of Finance, 49, 1755—1785.

19. Basak, S. and Shapiro, A.(2001)“ Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices”, Review of Financial Studies, 14(2):371—405.

20. Basel Committee on Banking Supervision(2004)International Convergence of Capital Measurement and Capital Standards A Revised Framework. Basel Committee PublicationsNo. 107, The Bank for International Settlements, Basel. Switzerland.

21. Bates, D.(1996)“J umps and Stochastic Volatility: Exchange Rates Processes Implicit in Deutsche Mark Options", Review of Financial Studies, 9(1):69—107.

22. Bekaert, G. and Wu, G.(2000)“Asymmetric Volatility and Risk in Equity Markets", Review of Financial Studies, 13(1):1—42.

23. Bera, A. K. and Kim, S.(2002)“Testing Constancy of Correlation and Other Specifications of the BGARCH Model with an Application to International Equity Returns ”, Journal of Empirical Finance, 9(2):171—195.

24. Berkowitz, J.(2001)“Testing Density Forecasts with Application to Risk Management", Journal of Business and Economic Statistics, 19(4):465—474.

25. Best, M.J. and Grauer, R.R.(1991)“On the Sensitivity of Mean Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results", Review of Financial Studies, 4(2):315—342.

26. Bierwag, G. 0., Kaufman, G. G. and Toevs, A.(1983) Innovations in Bond Portfolio Management:Duration Analysis and Immunization(Greenwich, CT:JAI Press).

27. Black, F.(1976)“ The Pricing of Commodity Contracts”,Journal of Financial Economics, 3(12): 167—179.

28. Black,F., Derman, E. and Toy, W.(1990)'"A OneFactor Model of Interest Rates and its Application to Treasury Bond Options", Financial Analysts Journal, 46(1):33—39.

29. Black, F. and Scholes, M.(1973)“The Pricing of Options and Corporate Liabilities”,Journal of Political Economy,81(3):637—654.

30. Bookstaber, R. M.(1996), Option Pricing and Investment Strategies, Probus Publishing.

31. Bookstaber, R. M. (1999),“A Framework for Understanding Market Crisis ”, Risk Management:Principles and Practices, AIMR Conference Proceedings, Association for Investment Management and Research, pp. 7—19.

32. Booth, L. and R. W. Rotenberg(1990),“ Assessing Foreign Exchange Exposure:Theory and Application using Canadian Firms”, Journal of Internatiuna Finaneial Management and Accounting, 2, 1—21.

33. Bollerslev, T.(1986)“Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31:307—27.

34. Bollerslev, T.(1990)“Modeling the Coherence in Short Run Nominal Exchange Rates:A Multivariate Generalized ARCH Model ”, Review of Economics and Statistics, 72(3):498—505.

35. Bollerslev, T. and Engle, R. F.(1993)“Common Persistence in Conditional Variances", Econometrica, 61(1):167—186.

36. Bollerslev, T., Engle, R. F. and Wooldridge, J. M.(1988)“A Capital Asset Pricing Model with Time Varying Covariances”,Journal of Political Economy, 96(1):116—131.

37. Bollerslev, T. and Mikkelsen, H. O.(1999)“LongTerm Equity Anticipation Securities and Stock Market Volatility Dynamics”, Journal of Econometrics, 92(1):75—99.

38. Bollerslev, T. and Wooldridge, J.M.(1992)“Quasimaximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances”, Econometric Reviews , 11(2):143—172.

39. Booth, G. G., Martikainen, T. and Tse, Y.(1997)“ Price and Volatility Spillovers in Scandinavian Stock Markets”,Journal of Banking and Finance, 21(5):811—823.

40. Borgonovo, E. and Peccati, L.(2004)“The Importance of Assumptions in Investment Evaluation", International Journal of Production Economics, 90:17—25.

41. Braun, P.A. , Nelson, D. B. and Sunier, A. M.(1995)“ Good News, Bad News, Volatility and Betas”, The Journal of Finance, 50(5):1575—1603.

42. Brennan, M. J. and Schwartz, E. S.(1985)“Evaluating Natural Resource Investments", Journal of Business, 58(2):135—157.

43. Britten-Jones, M.(1999)“The Sampling Error in Estimates of Mean Variance Efficient Portfolio Weights”, Journal of Finance, 54(2):655—671.

44. Brody, D. , Syroka, J. and Zervos ,M.(2002)“Dynamical Pricing of Weather Derivatives", Quantitative Finance, 2(3):189—198.

45. Brooks, C. and Henry, O. T.(2000)“Linear and Nonlinear Transmission of Equity Return Volatility: Evidence from the U.S., Japan and Australia", Economic Modelling, 17(4):497—513.

46. Campbell, J. Y., Lettau, M., Malkiel, B. G. and Xu,Y.(2001)“Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", Journal of Finance,56(1):1—43.

47. Campbell, J. Y., Lo, A. W. and MacKinlay, A. C.(1997) The Econometrics of Financial Markets (Princeton, NJ:Princeton University Press).

48. Campbell, J. Y. and Taksler, G. B.(2003)“Equity Volatility and Corporate Bond Yields", Journal of Finance, 58(6):2321—2350.

49. Carverhill, A. and Clewlow, L.(1994)“On the Simulation of Contingent Claims", Journal of Derivatives, 2(1):66—74

50. Chambers, J. M. , Mallows, C. L. and Stuck, B. W.(1976)“A Method for Simulating Stable Random Variables",Journal of the American Statistical Association, 71(2):340—344.

51. Campbell, J. Y.(1987)“Stock Returns and the Term Structure", Journal of Financial Economics, 18(4):373—399.

52. Campbell, J. Y. and Henstschel, L.(1992)“No News Is Good News:AnAsymmetric Model of Changing Volatility in Stock Returns", Journal of Financial Economics, 31(2):281—318.

53. Campbell, S. D.(2005)“A Review of Backtesting Procedures",Finance and Economic Discussion Series(Washington,DC: Federal Reserve Board).

54. Chan, K. C. , and Chen, N.(1991)“ Structural and Return Characteristics of Small and Large Firms”, Journal of Finance,46(4):1467—1484.

55. Chatfield, C.(1993)“Calculating Interval Forecasts",Journal of Business and Economic Statistics,11(2):121—135.

56. Chen, L.(1996)Interest Rate Dynamics, Derivatives Pricing,and Risk Management(Berlin:Springer-Verlag).

57. Chen, R. and Scott, L.(1993)“Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates", Journal of Fixed Income , 4(1):14—31.

58. Chernov, M. , Gallant, R. , Ghysels, E. and Tauchen,G. (2003)“Alternative Models for Stock Price Dynamics ”,Journal of Econometrics,116(1):225—257.

59. Chopra, V. K. and Ziemba, W. T.(1993)“The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice", Journal of Portfolio Management, 19(2):6—11.

60. Chow, E. W. , Lee, W. Y. and Solt, M. E.(1997),“ The Exehange Rate Risk Exposure of Asset Returns”, Journal of Business, 70, 105—123.

61. Chow, G. and M. Kritzman(2001) ,“Risk Budgets" ,Journal of Portfolio Management, Winter 2001, pp. 56—60.

62. Christie, A. A.(1982)“The Stochastic Behaviour of Common Stock Variances-Value, Leverage and Interest Rate Effects”, Journal of Financial Economics, 10(4):407—432.

63. Christensen, B. J. and Prabhal, N. R.(1998)“The Relation between Implied and Realized Volatility", Journal of Financial Economics, 50(2):125—150.

64. Christoffersen, P.(1998)“Evaluating Interval Forecasts”, International Economic Review, 39(4):841—864.

65. Cifarelli, P. and Paladino, G.(2005)“Volatility Linkages Across Three Major Equity Markets:A Financial Arbitrage Approach", Journal of International Money and Finance, 24(3):413—439.

66. Clayton, D. and Cuzick, J.(1985)“Multivariate Generalizations of the Proportional Hazards Model", Journal of the Royal Statistical Society, 148(1):82—117.

6 7. Clew low, L. and Strickland, C.(1997)“Monte Carlo Valuation of Interest Rate Derivatives Under Stochastic Volatility”,Journal of Fixed Income, 7(1):35—45.

68. Clinton, K.(1995)“TheTerm Structure of Interest Rates as a Leading Indicator of Economic Activity:A Technical Note", Bank of Canada Review, Winter 1994—1995.

69. Collin-Dufresne, P. P. and Goldstein, R. S.(2001)“Do Credit Spreads Reflect Stationary Leverage Ratios?”Journal of Finance, 56(5):1929—1957.

70. Collin-Dufresne, P. P.,Goldstein, R. S. and Martin, J.s.(2001)“ The Determinant of Credit Spread Changes", Journal of Finance, 56(6):2177—2207.

71. Conrad, J. , Gultekin, M. N. and Kaul, G.(1991)“ Asymmetric Predictability of Conditional Variances", Review of Financial Studies, 4(4):597—622.

72. Copeland, T. and Antikarov, V.(2001) Real Options:A Practitioner’s Guide(London:Texere Publishing).

73. Cox, J.C., Ingersoll, J.E. and Ross, S. A.(1979)“ Duration and the Measurement of Basis Risk", Journal of Business,52(1):51—61.

74. Cox, J.C. and Ross, S. A.(1976)“The Valuation of Options for Alternative Stochastic Processes”, Journal of Financial Economics, 3:145—166.

75. Cox,J.C. and Ross, S. and Rubinstein, M.(1979)“Option Pricing:A Simplified Approach ”, Journal of Financial Economics,7(3):229—264.

76. Crnkovic, C. and Drachman, J.(1997)Quality Control,in VaR:Understanding and Applying Value at Risk(London, UK:Risk Publications).

77. Crouhy, M. , Galai, D. and Mark, R.(2000)“A Comparative Analysis of Current Credit Risk Models”, Journal of Banking and Finance, 24(12):59—117.

78. Cruz, M. G.(2002)Modeling, Measuring and Hedging Operational Risk(New York:Wiley & Sons).

79. Dai, Q. and Singleton, K. J.(2000)“Specification Analysis of Affine Term Structure Models", Journal of Finance,55(5):1943—1978.

80. Darbar, S. M. and Deb, P.(1997)“ Co-movements in International Equity Markets ”,Journal of Financial Research,20(3):305—322.

81. De Beaufort, R.(2000),“The Changing Nature of Reserve Management Risks", Risk Management for Central Bankers,Central Banking Publications.

82. De Beaufort, R. , Benitez, S. and F. Palomino(2002),“ The Case for Reserve Managers to Invest in Corporate Debt",Central Banking, Vol. XII, No. 4.

83. D'Ecclesia, R. L. and Zenios, S. A.(1994)“Risk Faetor Analysis and Portfolio Immunization in the Italian Bond Market”,Journal of Fixed Income, 4(2):51—58.

84. De Jong, F.(2000)“Time Series and Cross-Section Information in Affine Term-Structure Models", Journal of Business& Economic Statistics, 18(3):300—314.

85. Dickey, D. and W. Fuller(1979),“Distribution of the Estimators for Autoregressive Time Series with a Unit Root",Journal of the American Statistical Association, 74.

86. Dickey, D. A. and Fuller, W. A.(1981)“Likelihood Ratios Statistics for Autoregressive Time Series with a Unit Root",Econometrica, 49(4):1057—1072.

87. Diebold, F. X. , Gunther,T. A. and Tay, A. S.(1998)“ Evaluating Density Forecasts ”, International Economic Review,39:863—883.

88. Dischel, R.(2002)(Ed.). Climate Risk and the Weather Market(London:Risk Books).

89. Dixit, A. K. and Pindyck, R. S.(1994)“ Investment Under Uncertainty ”(Princeton, NJ: Princeton University Press).

90.Dixit, A.K. and Pindyck, R.S.(1995)“The Options Approach to Capital Investment", Harvard Business Review, 73(3):105—115.

91. Domowitz, I. and Hakkio, C. S.(1985),“Conditional,Variance and the Risk Premium in the Foreign Exchange Market,Joumal of lntemational Economies, 19, 47—66.

92. Donnelly, R. and Sheehy, E.(1996),“The Share Price Reaction of UK Exporters to Exchange Rate Movement:an Empirical Study, Journal of International Business Studies, 105—123.

93. Downing, D. and J. Clark(1997), Statistics: The Easy Way, Barrons Educational Series.

94. Duan, J.-C.(1995)“The GARCH Option Pricing Model”,Mathematical Finance, 5:13—32.

95. Duan, J. -C. and Zhang, H.(2001)“Pricing Hang Seng Index Options around the Asian Financial Crisis A GARCH Approach",Journal of Banking and Finance, 25(11):1989—2014.

96. Duffie, D. , Pan, J. and Singleton, K.(2000)“Transform Analysis and Asset Pricing for Affine Jump-Diffusions”,Econometrica, 68(6):1343—1376.

97. Duffie, D. and Singleton, K.(1999)“Modeling Term Structure of Defaultable Bonds", Review of Financial Studies,12(4):687—720.

98. Duffie, D. and Ziegler, A.(2003),“Liquidation Risk",Financial Analysts Journal, May-June 2003, pp.42—51.

99. Eberlein, E. , Kallsen, J. and Kristen, J.(2003)“Risk Management Based on Stochastic Volatility", Journal of Risk, 5(2):19—44.

100. El Karoui, N. , Jeanblanc, M. and Shreve, S. E.(1998)“Robustness of the Black Scholes Formula”, Mathematical Finance, 8(2):93—126.

101. Element, R.(2002)Weather Risk Management(London:Palgrave Macmillan).

102. Elton, E. J. , Gruber, M. J. , Agrawal. D. and Mann,C.(2001)“Explaining the Rate Spread on Corporate Bonds",Journal of Finance, 56(1):247—277.

103. Elton, E. J. , Gruber, M. J. and Michaely, R.(1990)“The Structure of Spot Rates and Immunization", Journal of Finance, 45(2):629—642.

104. Embrechts ,P., Kl ppelberg, C. and Mikosch, T.(1997)Modelling Extremal Events for Insurance and Finance(Berlin:Springer-Verlag).

105. Engle, R. F.(1982)“Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation", Econometrica, 50:987—1007.

106. Engle, R.(2002)“Dynamic Conditional Correlation:A Simple Class of Multivariate GARCH Models", Journal of Business and Economic Statistics, 20(3):339—350.

107. Engle, R. F. and Kroner, K. F.(1995)“Multivariate Simultaneous Generalized ARCH”, Econometric Theory , 11(1):122—150.

108. Engle, R.F. , Ito, T. and Ln, W. L.(1990)“Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market", Econometrica, 58(3):525—542.

109. Engle, R. F. and Ng, V. K.(1993)“Measuring and Testing the Impact of News on Volatility", Journal of Finance,48(5):1749—1778.

110. Eom, J. H. , Helwege, J. and Huang, J. Z.(2004)“ Structural Models of Corporate Bond Pricing: An Empirical Analysis”, Review of Financial Studies, 17(2):499—544.

111. Eraker, B.(2001)“MCMC Analysis of Diffusion Models with Application to Finance", Journal of Business and Economic Statistics, 19(2):177—191.

112. Eraker, B. , Johannes ,M. and Polson, M.(2003)“ The Impact of Jumps in Volatility and Returns", Journal of Finance, 58(3):1269—1300.

113. Erb, C. B. , Harvey, C. R. and Viskanta, T. E.(1994)“Forecasting International Equity Correlations", Financial Analysts Journal, 50(6):32—45.

114. Erlang, A. K.(1909),“ The Theory of Probabilities and Telephone Conversations ”, Nyt Tidsskrift for Matematik B,Vol. 20.

115. Erlang, A. K.(1917),“Solution of Some Problems in the Theory of Probabilities of Significance in Automatic Telephone Exchange", Elektrotkeknikeren, Vol. 13.

116. Fabozzi, F. J.(1993)Fixed Income Mathematics(Chicago:Probus Publishing Company).

117. Fama, E. F.(1970)“Multiperiod Consumption-Investment Decisions", American Economic Review, 60(1):163—174.

118. Fama, E. F. and Bliss, R.R.(1987),“The lnformation in Long-Maturity Forward Rates", American Economic Review, 77, 680—692.

119. Fama, E. F. and French, K. R.(1989),“Business Conditions and Expected Returns on Bonds and Stocks", Journal of Finance, 54, 1325—1390.

120. Fama, E. F. and French, K. R.(1989)“Business Conditions and Expected Returns on Stocks and Bonds", Journal of Financial Economics, 25(1):23—49.

121. Fama, E. F. and French, K. R.(1992)“The CrossSection of Expected Stock Returns", Journal of Finance, 47(2):427—465.

122. Fermanian, J. D.(1997)“Multivariate Hazard Rates Under Random Censorship", Journal of Multivariate Analysis,62(2):273—309.

123. Flannery, M.J., Houston, J. F. and Venkataraman,S.(1993)“Financing Multiple Investment Projects", Financial Management, 22:201—220.

124. Fletcher, J. and Hiller, J.(2001)“ An Examination of Resampled Portfolio Efficiency", Financial Analysts Journal ,57(5):66—74.

125. Foley, T.(2003),“Strategic Benchmarks are Almost Always Static and Should Be Almost Always Dynamic", State Street Global Advisors Research , July 2003.

126. Follmer, H. and Schied, A.(2002)“Convex Measures of Risk and Trading Constraints", Finance and Stochastics,(6)4. 429—447.

127. Fong, W. M.(2003)“Correlation Jumps", Journal of Applied Finance, 13(2):29—45.

128. Forbes, K. J. and Rigbon, R.(2002)“No Contagion,Only Interdependence: Measuring Stock Market Comovements”,Journal of Finance, 57(5):2223—2261.

129. Fornari, F. and Mele, A.(2005)“ Approximating Volatility Diffusions with CEV-ARCH Models”, Journal of Economic Dynamics and Control, 30(6):931—966.

130. French, K. R. , Schwert, G. W. and Stambaugh, R. F.(1987)“Expected Stock Returns and Volatility", Journal of Financial Economics, 19(1):3—29.

131. Frey, R. and Sin, C. A.(1999)“Bounds on European Option Prices Under Stochastic Volatility ”, Mathematical Finance, 9(2):97—116.

132. Frisen, M.(2003)“Sta tis ti cal Surveillance: Optimality and Methods", International Statistical Review, 71(2):403—434.

133. Froot, K. A. , Scharfstein, D. S. and J. C. Stein(1993),“Risk Management: Coordinating Corporate Investment and Financing Policies”, Journal of Finance, 48(5), 1629—1658.

134. Gatfaoui, H.(2003)“Risk Disaggregation and Credit Risk Valuation in a Merton Framework”, Journal of Risk Finance,4(3):27—42.

135. Gibson, R. , Lhabitant, F.S., Pistre, N. and Talay,D.(1999).“Interest Rate Model Risk: An Overview", Journal of Risk, 1(3):37—62.

136. Gibbons, M. R. , Ross, S. A. and Shanken, J.(1989)“A Test of the Efficiency of a Given Portfolio", Econometrica,57(5):1121—1152.

137. Giesecke, K. and Weber, S.(2004)“Cyclical Correlations,Credit Contagion, and Portfolio Losses ”, Journal of Banking & Finance, 28(12):3009—3036.

138. Glosten, L. R. , Jagannathan, R. and Runkle, D. E.(1993)“On the Relationship Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Journal of Finance,48(5):1779—1801.

139. Goetzmann, W. N. , Li, L. and Rouwenhorst, K. G.(2005)“Long Term Global Market Correlations”. Journal of Business, 78(1), 1—38.

140. Goldfarb, B. and C. Pardoux (1993), Introduction a la Methode Statistique. Gestion, Economie, Dunod.

141. Gouri roux, C. , Laurent, J. P. P. and Pham, H.(1998)“Mean-Variance Hedging and N urneraire”, Ma thematical Finance, 8(3):179—200.

142. Gourieroux, C., Laurent, J. P. and Scaillet, O.(2000)“Sensitivity Analysis of Values at Risk", Journal of Empirical Finance, 7:225—245.

143. Gouri roux, C. and Monfort, A.(1996)Simulation Based Econometric Methods(Oxford, UK:Oxford University Press).

144. Goyal, A. and Santa-Clara, P. P.(2003)“Idiosyncratic Risk Matters !”, Journal of Finance, 58(3):975—1007.

145. Grava, R.(2002),“Fewer Government Bonds: Rethinking Reserve Portfolios", How Countries Manage Reserve Assets, Central Banking Publications.

146. Green. T. C. and Figlewski. S.(1999)“Market Risk and Model Risk for a Financial Institution Writing Options".Journalof Finance, 54(4):1465—1499.

147. Groenen, P. J. F. and Franses, P.H.(2000)“Visualizing Time Varying Correlations across Stock Markets", Journal of Empirical Finance, 7(2):155—172.

148. Gumbel, E. J.(1958)Statistics of Extremes(New York:Columbia University Press).

149. Hamao, Y., Masulis. R. W. and Ng, V.(1990)“Correlations in Price Changes and Volatility Across lnternational Stock Markets",Review of Financial Studies,3(2):281—307.

150. Hamilton, J. D.(1994)Time Series Analysis(Princeton, NJ:Princeton University Press).

151. Handzy, D.(2003),“Monte Carlo Techniques". Improving the Investment Process through Risk Management, Association for Investment Management and Research(AIMR).Charlottesville, Virginia , 2003.

152. Hilliard, J.E. and Savickas, R.(2002)“On the Statistical Significance of Event Effects on Unsystematic Volatility",Journal of Financial Research, 25(4):447—462.

153. Heath, D. , Jarrow, R. A. and Morton, A.(1989)“ Contingent Claim Valuation with a Random Evolution of Interest Rates", Review of Futures Markets, 9(1):54—76.

154. Heath,D., Jarrow, R. A. and Morton, A.(1992)“Bond Pricing and the Term Structure of Interest Rates:A New Methodology for Contingent Claims Valuation”, Econometrica,60(1):77—106.

155. Hendry, 0. L. and Sharma, J.(1999)“Asymmetric Conditional Volatility and Firm Size:Evidence fromAustralian Equity Portfolios", Australian Economic Papers, 38(4):393—406.

156. Hentschel, L.(1995)“All in the Family Nesting Symmetric and Asymmetric GARCH Models”, Journal of Financial Economics, 39(1):71—104.

157. Hertz, D. B. (1964)“Risk Analysis in Capital Investment”,Harvard Business Review, 42(1):95—106.

158. Hertz, D. B.(1968)“Investment Policies that Pay Off”, Harvard Business Review, 46(1):96—108.

159. Heston, S.(1993)“A Closed Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options", Review of Financial Studies, 6(2):327—343.

160. Hickman, K. , Hunter, H. , Byrd, J. , Beck, J. and W. Terpening(2001),“Life Cycle Investing, Holding Periods,and Risk ”, Journal of Portfolio Management, Winter 2001.

161. Hirsa, A. , Courtadon, G. and Madan, D. B.(2002)“ The Effect of Model Risk on the Valuation of Barrier Options",Journal of Risk Finance, 4(Winter):1—9.

162. Ho, T. S. Y.(1992)“Key Rate Durations: Measures of Interest Rate Risks'', Journal of Fixed Income, 2(2):29—44.

163. Ho, T. S. Y. and Lee, S. B.(1986)“Term Structure Movements and Pricing Interest Rate Contingent Claims", Journal of Finance, 41(5):1011—1028.

164. Hoeting,J., Madigan,D., Raftery, A. andV olinsky,C.(1999)“Bayesian Model Averaging", Statistical Science, 14(2):382—401.

165. Hofmann, N. , Platen, E. and Schweizer, M.(1992)“ Option Pricing Under Incompleteness and Stochastic Volatility”,Mathematical Finance, 2(3):153—187.

166. Hon, M. T., Strauss, J. andYong, S.(2004)“Con tagion in Financial Markets after September 11: Myth or Reality?”,Journal of Financial Research, 27(1):95—114.

167. Huisman, R. , Koedijk, K. G. , Kool, C. J. and Palm,F.(2001)“ Tail Index Estimates in Small Samples", Journal of Business and Economic Statistics, 19(1):208—216.

168. Hull, J.C.(1999)Options, Futures and Other Derivatives (Upper Saddle River, NJ: Prentice-Hall).

169. Hull, J. and White, J.(1987)“The Pricing of Options onAssets with Stochastic Volatilities”, Journal of Finance, 42(2):281—300.

170. Hull, J. and White, A. (1990)“Valuing Derivative Securities Using the Explicit Finite Differences Method", Journal of Financial Quantitative Analys,25(1):87—100.

171. Hull, J. and White, A.(2001)“Valuing Credit Default Swaps II: Modeling Default Correlations", Journal of Derivatives, 8(3):12—22.

172. Hwang, S. and Satchell, S. E.(2000)“Market Risk and the Concept of Fundamental Volatility:Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets”,Journal of Banking and Finance, 24(5):759—785.

173. Ibbotson, R. and P. D. Kaplan(2000),“Does Asset Allocation Policy Explain 40, 90, or 100 Per Cent of Performance?”Financial Analyst Journal, 56(1).pp. 26—33.

174. Ilmanen, A.(2003),“Expected Returns on Stocks and Bonds", Journal of Portfolio Management, Winter 2003, pp. 7—27.

175. IMF(2003), Guidelines for Foreign Exchange Reserve Management : Aecompanying Document, International Monetary Fund, Washington.

176. Ingersoll, Jr. , J. and Ross, S.(1992)“Waiting to Invest:Investment and Uncertainty", Journal of Business, 65(1):1—29.

177. Ingersoll, J.E., Skelton, J. and Weil, R. L.(1978)“ Duration Forty Years Later", Journal of Financial and Quantitative Analysis, 13(4):627—650.

178. Ito, H. and Lee, D.(2005)“Assessing the Impact of September 11 Terrorist Attacks on U. S. Airline Demand ”,Journal of Economics and Business, 57(1):75—95.

179.Jackel, P.(2002), Monte Carlo Methods in Finance,Wiley Finance.

180. J agannathan, R. and Meier, I. (2002)“Do We Need CAPM for Capital Budgeting ?”,Financial Management, 31(4):55—77.

181. James, J. andWebber, N.(2000) Interest Rate Modelling(NewYork, NY:JohnWiley&.Sons).

182. Jamshidian, F.(1989)“An Exact Bond Option Formula”,Journal of Finance, 44(1):205—209.

183.Jarrow, R.(1996) Modelling Fixed Income Securities and Interest Rate Options(New York, NY:Mc Graw Hill).

184. }arrow, R.(2002)“Put Option Premiums and Coherent Risk Measures", Mathematical Finance, 12(2):125—134.

185. Jarrow, R. , Lando, D. and Turnbull, S.(1997)“A Markov Model for the Term Structure of Credit Risk Spreads”,Review of FinanciaI Studies, 10(3):481—523.

186.Jarrow, R., Lando, D. and Yu, F.(2005)“Default Risk and Diversification: Theory and Applications", Mathematical Finance, 15(1): 1—26.

187. Jarrow, R. ,and Yildirim, Y.(2003)“Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJMModel”, Journal of Financial and Quantitative Analysis,38(2):409—430.

188. Jensen, M. C. and Meckling, W. H.(1976)“Theory of the Firm:Managerial Behaviour, Agency Costs and Owner ship Structure", Journal of Financial Economics, 3(4):305—360.

189. Jewson,S., Brix, A. and Ziehmann, C.(2005)Weather Derivative Valuation(Cambridge::Cambridge UniversityPress).

190. Jobson, J. D. and Korkie, B. M.(1981).“ Putting Markowitz Theory to Work", Journal of Portfolio Management,7(4):70—74.

191. Jobson, J. D. and Korkie, B.(1989)“A Performance Interpretation of Multivariate Tests of Asset Set Intersection,Spanning, and Mean Variance Efficiency”, Journal of Financial and Quantitative Analysis, 24(2):185—204.

192. Johansen, S.(1988)“Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, 12(2—3):231—254.

193. Johnson-Calari, J.(2000),“Risk Management at the World Bank:Global Liquidity Portfolios ”, Risk Management for Central Bankers, Central Banking Publications.

194. Jones, F. J.(1991)“ Yield Curve Strategies", Journal of Fixed Income, 1(2):33—41.

195.]orion, P.(1986)“Bayes Stein Estimation for Portfolio Analysis", Journal of Financial and Quantitative Analysis, 21(3):279—292.

196. ]orion, P.(1990),“The Exchange Rate Exposure of U.S. Multinationals", Jounal of Business, 3, 331—345.

197. ]orion, P.(1991)“ Bayesian and CAPM Estimators of the Means:Implications for Portfolio Selection", Journal of Banking and Finance, 15(3):717—727.

198. Jorion, P.(2001)Value at Risk(Chicago, IL:IrwinPublishers).

199. Karatzas, I. and Shreve, S. E.(1991)Brownian Motion and Stochastic Calculus, 2nd edn(New York, NY:Springer-Verlag).

200. Karolyi, G. A.(1995)“A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility:The Case of the United States and Canada", Journal of Business and Economic Statistics, 13(1):11—25.

201. Karolyi, G. A. and Stulz, R. M.(1996)“ Why Do Markets Move Together? An Investigation of US Japan Stock Return Comovements”, Journal of Finance, 51(3):951—986.

202. Karpoff, J. M.(1987)“ The Relation between Price Changes and Trading Volume:A Survey", Journal of FinanciaJ and Quantitative Analysis, 22(1):109—126.

203. Kealhofer, S.(1999),“Credit Risk and Risk Management”,Risk Management: Principles and Practices, AIMR Conference Proceedings, Association for Investment Management and Research, pp. 80—90.

204. Kearney, C. and Patton, A. J.(2000)“Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System", Financial Review, 35(1):29—48.

205.Kendall, M.(1976)Time Series(New York, NY:Hafner Press).

206. Kim, D. and Kon, S.(1999)“Structural Change and Time Dependence in Models of Stock Returns”,Journal of Empirical Finance, 6(3):283—308.

207. King, M.A. andWadhwani, S.(1990)“Transmission of Volatility Between Stock Markets ”, Review of Financial Studies, 3(1):5—33.

208. Klaffky, T. E., Ma, Y. Y. and Nazari, A.(1992)“ ManagingYield Curve Exposure: Introducing Reshaping Durations",Journal of Fixed Income, 2(3):39—45.

209. Klugman, S.A., Panjer, H. H. and Willmot, G. E.(1998)Loss Models From Data to Decisions (New York:Wiley Series on Probability and Statistics).

210. Knez, P. J. , Litterman, R. and Scheinkman,J.(1994)“Explorations into Factor Explaining Money Market Returns”,Journal of Finance, 49(5):1861—1882.

211. Kolmogorov, A. N.(1998), Mathematics of the 19th Century:Function Theory According to Chebyshev, Ordinary Differential Equations, Calculus of Variations, Theory of Finite Differences, Springer Verlag.

212. Koopman, S. J. and Lucas, A.(2005)“Business and Default Cycles for Credit Risk", Journal of Applied Econometrics, 20(2):311—323.

213. Korn, R.(1997)“Some Applications of L2 Hedging with a Non-Negative Wealth Process", Applied Mathematical Finance, 4(1): 64—79.

214. Koutmos, G. and Booth, G.(1995)“Asymmetric Volatility Transmission in International Stock Markets", Journal of International Mcney and Finance, 14(6):747—762.

215. Kroner, K. F. and Ng, V. K.(1998)“ Modeling Asymmetric Comovements of Assets Returns", Review of Financial Studies, 11(4):817—844.

216. Kupiec, P.(1995)“Techniques for Verifying the Accuracy of Risk Management Models", Journal of Derivatives,3:73—84.

217. Lamoureux, C. G. and Lastrapes, D. W.(1990)“Heteroskedasticity in Stock Return Data:Volume versus GARCH Effects", Journal of Finance, 45(1):221—229.

218. Laughhunn, D. J. and Sprecher, C.R.(1977)“Probability of Loss and the Capital Asset Pricing Model ”, Financial Management, 6(2):18—25.

219. Law, A. M. and Kelton, W. D.(2000) Simulation Modeling and Analysis, 3rd edn (New York: McGraw-Hill).

220. Leland, H. E. and Toft, K. B.(1996)“Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads", Journal of Finance, 51(3):987—1019.

221. Levy, H.(1978)“Equilibrium in an Imperfect Market:A Constraint on the Number of Securities in the Portfolio", American Economic Review, September, 68(4):643—658.

222. Levy, H. and Sarnat, M.(1994). Capital Investment& Financial Decisions(London:Prentice-Hall).

223. Lin, W. L.(1997)“ Impulse Response Function for Conditional Volatility in GARCH Models”, Journal of Business and Economic Statistics, 15(1):15—25.

224. Lintner, J.(1965)“The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economic Statistics, 47(1):13—37.

225. Litterman, R. and Scheinkman, J.(1991)“Common Factors Affecting Bond Returns", Journal of Fixed Income, 1(1):54—61.

226. Ledoit, O. and Wolf, M.(2003)“Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection", Journal of Empirical Finance, 10(5):603—621.

227. Ledoit, O. and Wolf, M.(2004)“A Well-Conditioned Estimator for arge-Dimensional Covariance Matrices", Journal of Multivariate Analysis, 88(2):365—411.

228. Lhabitant, F. S., Martini, C. and Reghai, A.(2001)“ Pricing and Hedging Discount Bond Options in the Presence of Model Risk ”, EuropeanFinanceReview, 4(1):69—90.

229. Lo, A. W. and Mackinlay, A. C.(1990)“When Are Contrarian Profits Due to Stock Market Overreaction?”, Review of Financial Studies, 3(2):175—205.

230. Longin, F. and Solnik, B.(1995)“Is the Correlation in International Equity Returns Constant?” ,Journal of International Money and Finance, 14(1):3-26.

231. Longin, F. and Solnik, B.(2001)“Extreme Correlation of International Equity Markets", Journal of Finance, 56(2):649—676.

232. Longstaff, F. and Schwartz, E.(1992)“Interest Rate Volatility and the Term Structure:A Two Factor General Equilibrium",Journal of Finance, 47(4):1259—1282.

233. Lucas, A. , Klaassen, P. P. , Spreij, P. P. and Straetmans, S.(2001)“An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios", Journal of Banking and Finance, 25(9):1635—1664.

234. Luenberger, D. G.(1990)Introduction to Linear and Nonlinear Programming, 2nd edn (Reading, MA:Addison Wesley).

235. MacKinnon, J. G.(1991)“Critical Values for Cointegration Tests”, in R. F. Engle and C. W. J . Granger(eds) ,Long-Run Economic Relationships:Readings in Cointegration,Chapter 13 (Oxford:Oxford University Press).

236. Makar, S. D. and Huffman, S. P.(2001) ,“Foreign exchange derivatives, exehange rate changes and the value of the firm”, Journal of Economics and Business, 53, 421—437.

237. Makridakis,S., Wheelwright, S. and R. Hyndman(1998), Forecasting: Methods and Applications. John Wiley &.Sons.

238. Malkiel, B. G. and Xu, Y.(2003)“Investigating the Behavior of Idiosyncratic Volatility”, Journal of Business, 76(4):613—644.

239. Manganelli, S.(2004)“Asset Allocation by Variance Sensitivity Analysis", Journal of Financial Econometrics, 2(3):370—389.

240. Markowitz, H.(1952)“Portfolio Selection", Journal of Finance, 7, 77—91.

241. Markowitz, H.(1959)Portfolio Selection: Efficient Diversification of Investment(New York, NY: John Wiley &Sons).

242. Martens, M. and Poon, S. H.(2001)“ Returns Synchronization and Daily Correlation Dynamics Between International Stock Markets", Journal of Banking and Finance, 25(10):1805—1827.

243. Matthys, G. and Beirlant, J.(2003)“Estimating the Extreme Value Index and High Quantiles with Exponential Regression Models", Statistica Sinica , 13:853—880.

244. McDonald, R. and Siegel, D.(1986)“The Value of Waiting to Invest", Quarterly Journal of Economics, November,101(4):707—727.

245. McFadden, D.(1989)“A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration'’, Econometrica, 57(5):995—1026.

246. McNeil A. J. and Frey, R.(2000)“Estimation of Tail Related Risk Measures for Heteroskedastic Financial Time Series:An Extreme Value Approach", Journal of Empirirnl Finance, 7(34):271—300.

247. Meddahi, N. and Renault, E.(2004),“Temporal Aggregation of Volatility Models”, Joumal of Econometrics, 119,355—379.

248. Mele, A. and Fornari, F.(2000)Stochastic Volatility in Financial Markets:Crossing the Bridge to Continuous Time(New York, NY:Kluwer Academic Publishers).

249. Meneu, V. and Torr , H.(2003)“Asymmetric Covariance in Spot-Futures Markets", Journal of Futures Markets,23(11):1019—1043.

250. Merton, R. C.(1973)“The Theory of Rational Option Pricing", Bell] ournal of Economics and Management Science,4(1):141—183.

251. Merton, R. C.(1974)“ On the Pricing of Corporate Debt:The Risk Structure of Interest Rates", Journal of Finance,29(2):449—470.

252. Merton, R. C.(1998)“Applications of Option-Pricing:Twenty Five Years Later", American Economic Review, 88(3):323—349.

253. Michaud, R. O. (1989)“The Markowitz Optimization Enigma:ls Optimized Optimal ?”, Financial  Analysts Journal,45(1):31—42.

254. Mills, T. C.(1999)The Econometric Modelling of Financial Time Series(Cambridge, UK:Cambridge University Press).

255. Mittnik, S. and Rachev, S. T.(1999)Stable Models in Finance (New York, NY:John Wiley & Sons).

256. Modigliani, F. and R. Sutch(1966),“Innovations in Interest Rate Policy", American Economic Review, 56, pp. 178—197.

257.Moody’ s Investors Service(2002),“Default & Recovery Rates of Corporate Bond Issuers", Moody’s Investors Service Global Credit Research, February 2002.

258. Moreno, M.(2003)“A Two-Mean Reverting-Factor Model of the Term Structure of Interest Rates", Journal of Futures Markets, 23(11):1075—105.

259. Mossin, J.(1966)“Equilibrium in a Capital Asset Market”, Econometrica, October,34(4):768—783.

260. Muirhead, R. J.(1982) Aspects of Multivariate Statistical Theory (NewYork, NY:JohnWiley& Sons).

261. Munk, C.(1999)“Stochastic Duration and Fast Coupon Bond Option Pricing in Multi Factor Models", Review of Derivatives Research, 3(2):157—181.

262. Musiela, M. and Rutkowski, M.(1998)Martingale Methods in Financial Modelling, 2nd edn (Berlin Heidelberg:Springer-Verlag).

263. Myers, S. C.(1977)“Determinants of Corporate Borrowing",Journal of Financial Economics, November, 147—175.

264. Nance, D. R., Smith, C. W. and Smithson, C. W.(1993),“On the Determinants of Corporate Hedging", Joumal of Finance, 48(1), 267—284.

265. Nelson, D. B.(1990)“ARCH Models as Diffusion Approximation", Journal of Econometrics , 45 (1):7—38.

266. Nelson, D. B.(1992)“Filtering and Forecasting with Misspecified ARCHModels I:Getting the Right Variance with the Wrong Model", Journal of Econometrics, 52(1):347—370.

267. Nelson, J. and Schaefer, S. M.(1983)“The Dynamics of the Term Structure and Alternative Portfolio Immunization Strategies", in G. O. Bierwag, G. G. Kaufman and A. Toevs(1983)Innovations in Bond Portfolio Management:Duration Analysis and Immunization (Greenwich, CT:JAI Press).

268. Nickell, P. P., Perraudin, W. and Varotto, S.(2000)“ Stability of Rating Transitions", Journal of Banking and Finance,24(1/2):203—227.

269. Ng, A.(2000)“Volatility Spillover Effects from Japan and the US to the Pacific-Basin", Journal of International Money and Finance, 19(2):207—233.

270. Noh, J.(1997)“Small Sample Properties of GARCH(1,1)Estimator Under Non-normality", Economics Letters, 55:161—164.

271. Norland, E. and S. D. Wilford(2002),“ Leverage, Liquidity, Volatility, Time Horizon, and the Risk of Ruin:A Barrier Option Approach", Review of Financial Economics, 11(3).pp. 225—239.

272. Officier, R.R.(1973)“The Variability of the Market Factor of the New York Stock Exchange", Journal of Business,46(3):434—453.

273. Pan, J.(2002)“The Jump Risk Premia Implicit in Options:Evidence from an Integrated Time Series Study", Journal of Financial Econometrics, 63(1):3—50.

274. Pantzalis, C. , Simkins, B. J., and Laux, P. A.(2001) ,“Operational Hedges and the Foreign Exchange Exposure of U.S. Multinational Corporations", Journal of International Business Studies, 32 (4), 793—812.

275. Petrella, G.(2005)“Are EuroArea Small Cap Stocks an Asset Class? Evidence from Mean Variance Spanning Tests",European Financial Management, 11(2):229—253.

276. Phillips, P. and P. Perron(1988),“Testing for a Unit Root in the Time Series Regression”, Biometrica, 75, pp. 335—346.

277. Picklands, J.(1975)“Statistical Inference Using Extreme Order Statistics", The Annals of Statistics, 3:119—131.

278. Pindyck, R. S.(1984)“Risk, Inflation and the Stock Market", American Economic Review, 74(3):334—351.

279. Poterba, J. M. and Summers, L. H.(1995)“ACEO Survey of US Companies ’ Time Horizons and Hurdle Rates”,Sloan Management Review, 37(1):43—53.

280. Psychoyios, D. , Skiadopoulos, G. and Alexakis, P. P.(2003)“A Review of Stochastic Volatility Processes: Properties and Implications", Journal of Risk Finance, 4(3):43—59.

281. Putnam, B. H.(2000), Integrating Risk Management with Asset Allocation, Global Investor Euromoney Plc.

282. Putnam, B. H. , Wilford, D. S. and P. D. Zecher(2002),“A Short Note on the Concept of Risk Management and VaR for Asset Manageme. nt Firms", Review of Financial Economics,11(3), pp. 205—212.

283. Quintana, J. M. and B. H. Putnam (1996),“Debating Currency Market Efficiency Using Dynamic Multiple-Factor Models”, Proceedings of the Section on Bayesian Statistical Science, pp. 55—60, American Statistical Association.

284. Ramaswamy, S.(1999),“ Reserve Currency Allocation:An Alternative Methodology", Bank for International Settlements, Working Paper, No. 72, August 1999.

285. Ramaswamy, S.(2002),“Managing Credit Risk in a Corporate Bond Portfolio", Journal of Portfolio Management,Spring 2002.

286. Ramchand, L. and Susmel, R.(1998)“Volatility and Cross Correlation Across Major Stock Markets ”, Journal of Empirical Finance, 5(4):397—416.

287. Rebonato, R.(1998) Interest-Rate Option Models(New York, NY:John Wiley & Sons).

288. Reitano, R. R.(1992)“ Non-Parallel Yield Curve Shifts and Immunization", Journal of Portfolio Management,18(3):36—43.

289. Reitano, R. R.(1996)“ Non-Parallel Yield Curve Shifts and Stochastic Immunization ”,Journal of Portfolio Management, 22(2):71—78.

290. Rigobon, R.(2003)“On the Measurement of the International Propagation of Shocks:Is the Transmission Stable?”,Journal of International Economics, 61(2):261—283.

291. Ripley, B. D.(1987)Stochastic Simulation(New York, NY:John Wiley & Sons).

292. RiskMetrics (1996) RiskMetrics Technical Document,4th edn(New York, J.P. Morgan).

293. Roll, R.(1977)“A Critique of the Asset Pricing Theory’s Tests”, Journal of Finαncial Economics, 4(2):129—176.

294.Ross, S. A.(1989)“Information and Volatility:The No Arbitrage Martingale Approach to Timing and Resolution Irrelevancy”,Journal of Finance , 44(1):1—17.

295. Rubinstein, M.(1994)“ Implied Binomial Trees ”,Journal of Finance, 49(3):771—818.

296. Rubinstein, R. Y. (1981)Simulation and the Monte Carlo Method(New York, NY:John Wiley & Sons).

297. Samorodnitsky, G. and Taqqu, M. S.(1994)Stable Non-Gaussian Random Variables (New York, NY:Chapman and Hall).

298. Savickas, R.(2003)“ Event-Induced Volatility and Tests for Abnormal Performance", Journal of Financial Research,26(2):165—178.

299. Sharpe, W. F.(1966)“Mutual Fund Performance",Journal of Business, 39(1):119—138.

300. Schwert, W. G.(1989)“Why Does Stock Market Volatility Change Over Time ?”, Journal of Finance, 44(4):1115—1153.

301. Selby, M. J.P. and Strickland, C.(1995)“Computing the Fong and Vasi eek Pure Discount Bond Pricing Formula",Journal of Fixed Income, 5(1):78—84.

302. Sharpe, W. F.(1963)“A Simplified Model for Portfolio Analysis", Management Science, 9:499—510.

303. Sharpe, W. F.(1964)“Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk", Journal of Finance, 19(3):425—442.

304. Shaw, S. and Thakor, A. V.(1987)“Optimal Capital Structure and Project Financing" ,Journal of Economic Theory,44(5):209—243.

305. Shephard, N.(2005)“Stochastic Volatility ”, in N. Shephard (ed.), Advanced Texts in Econometrics(Oxford:Oxford University Press).

306. Simon, C. P. and Blume, L.(1994)Mathematics for Economists(New York:W.W. Norton &. Co.).

307. Smith, C. W. and R. M. Stulz(1985),“The determinants of firms ’ hedging policies ”, Journal of Financial and Quantitative Analysis, 20, 391—405.

308. Smithson, C. W. and Smith, C. W.(1995) Managing Financial Risk(New York:Irwin).

309. Solnik, B. , Boucrelle, C. and Le Fur, Y.(1996)“International Correlation and Volatility ”, Financial Analysts Journal, 52(5):17—34.

310. Spahr, R. W. , Schwebach, R. G. and Sunderman, M.A.(2002)“Original-Issue Systematic and Default Risk Pricing Efficiency of Speculative-Grade Bonds", Journal of Risk and Insurance,69(4):489—516.

311. Stein, E. M. and Stein, J.C.(1991)“ Stock Price Distributions with Stochastic Volatility:An Analytic Approach ”,Review of Financial Studies, 4(4):727—752.

312. Stulz, R. M.(1984),“ Optimal Hedging Policies ”,Joumal of Financial and Quantitative Analysis, 19, 127—140.

313. Stulz, R. M.(1999)“What ’ s Wrong with Modern Capital Budgeting?”, Financial Practice and Education, 9(2):7—11.

314. Susmel, R. and Engle, R. F.(1994)“Hourly Volatility Spillovers Between International Equity Markets", Journal of International Money and Finance, 13(1):3—25.

315. Taggart, R. A.(1996)Quantitative Analysis for Investment Management(Upper Saddle River, NJ: Prentice-Hall).

316. Taha, H.(1997), Operations Research:An Introduction, 6th edition, Prentice-Hall.

317. Taylor, S. J.(1994)“Modeling Stochastic Volatility!A Review and Comparative Study", Mathematical Finance, 2(2):183—204.

318. Theil, H.(1971)Applied Economic Forecasting(Amsterdam:North Holland).

319. Trigeorgis, L.(1993)“Real Options and Interactions with Financial Flexibility", Financial Management, 22(3):202—224.

320. Wang, Z.(1998)“Efficiency Loss and Constraints on Portfolio Holding", Journal of Financial Economics, 48(3):359—375.

321. Waring, B. and L. Siegel(2003),“The Dimensions of Active Management ”, Journal of Portfolio Management,Spring 2003.

322. Winkelmann, K.(2000),“Risk Budgeting:Managing Active Risk at the Total Fund Level", Goldman Sachs & Co. Investment management research, February 2000.

323. Winkelmann, K. and R. Howard(2001),“Developing and Optimal Active Risk Budget", Goldman Sachs & Co. Investment management research, July 2001.

324. Wooldridge, J. M.(1990)“A Unified Approach to Robust,Regression-Based Specification Tests”, Econometric Theory,6(1):17—43.

325. Wu, G.(2001)“The Determinants of Asymmetric Volatility”, Review of Financial Studies, 14(3):837—859.

326. Wu, X.(2000)“A New Stochastic Duration Measure Based on the Vasicek and CIR Term Structure Theories", Journal of Business Finance and Accounting, 27(7&8):911—932.

327. Vasicek, O.(1977)“An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, 5(2):177—188.

328. Zeng, L. and Perry, K.(2002)“Managing a Portfolio of Weather Derivatives", in R. S. Dischel (ed.) , Climate Risk and theWeather Market, pp. 241—264(London:Risk Books).

329. Zhou, C.(2001),“Credit Ratings and Corporate Defaults",Journal of Fixed Income, December 2001.