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[23]王新字，宋学锋.基于贝叶斯分位数回归的市场风险测度棋型与应用J.系统管理学报，2009,18(1)：40-48. Wang X Y,Song X F.Measure market risk based on Bayesian quantile regression model with an application[J Journal of Systems and Management,2009,18(1):40-48. [24]Gerlach R,Chen C,Chan N.Bayesian time-varying quantile forecasting for value-at-risk in financial markets[J]. Journal of Business and Economic Statistics,2011,29(4):481-492. 25 Yu K,Zhang J.A three-parameter asymmetric Laplace distribution and its extensionJ.Communications in Statistics-Theory and Methods,2005,34:1867-1879. [26]Ntzoufras I.Bayesian modeling using WinBUGS[M].John Wiley Sons,Inc,2009. [27 Kass R,Raftery A.Bayes factors[J].Journal of American Statistical Association,1995,90(430):773-795 [28]Berkowitz J,Christoffersen P,Pelletier D.Evaluating value-at-risk models with desk-level data[J].Management Science,2011,57(2):2213-2227. [29 Hendricks D.Evaluation of value-at-risk models using historical dataJ].Economic Policy Review,1996,2:39-69. [30]Reed C,Yu K.A partially collapsed Gibbs sampler for Bayesian quantile regression R.Working Paper,Brunel University,2009. 万方数据第11期 陈磊，等：基于贝H十斯CAViaR模型的油价风险研究 2765 [9】 [10】 [11】 [12】 [13】 [14】 [15】 [16】 【17] 【18] [19] [20] [21】 [22] [23】 张意翔，胥朝阳，成金华．基于VaR方法的中国石油企业跨国并购的价格风险评价[J】．管理学报，2010，7(3)：440-444． Zhang Y X，Xu Z Y，Cheng J H．Price risk evaluation for overseas merger and acquisition of Chinese oil companies based on VaR modeling[J1．Chinese Journal of Management，2010，7(3)：440-444． Giot P，Laurent S．Market risk in commodity markets：A VaR approach[J]．Energy Economics，2003，25(5)： 435-457． Costello A，Asem E，Gardner E．Comparison of historically simulated VaR：Evidence from oil prices[J】．Energy Economics，2008，30(5)：2154-2166． Hung J C，Lee M C，Liu H C．Estimation of value-at—risk for energy commodities via fat—tailed GARCH models[J]． Energy Economics，2008，30(3)：1173—1191． Fan Y，Zhang Y J，Tsai H T，et a1．Estimating‘value at risk’of crude oil price and its spillover effect using the GED—GARCH approach[J】．Energy Economics，2008，30(6)：3156—3171． 冯春山，吴家春，蒋馥．应用半参数法计算石油市场风险价值[J】．湖北大学学报：自然科学版，2004，26(3)：213-217． Feng C S，wh J C，Jiang F．To compute the oil market value at risk by applying semi-parametric approach[J】． Journal of Hubei University：Natural Science Edition，2004，26(3)：213-217． 潘慧峰，张金水．用VaR度量石油市场的极端风险[J】．运筹与管理，2006，15(5)：94-98． Pan H F，Zhang J S．Using value at risk to measure extreme risk in oil market[J]．Operations Research and Management Science，2006，15(5)：94-98． 沈沛龙，邢通政．基于GARCH模型的wTI和Brent原油价格风险分析[J】．哈尔滨工业大学学报：社会科学版，2010， 12(3)：88—93． Shen P L．Xing T Z．GARCH model based wTI and Brent crude oil price risk analysis[J]．Journal of HIT：Social Science Edition，2010，12(3)：88-93． 沈沛龙，邢通政．国际油价波动与中国成品油价格风险研究[J】．重庆大学学报：社会科学版，2011，17(1)：35．41． Shen P L，Xing T Z．Research on international oil price volatility and China’s refined oil price risk[J]．Journal of Chongqing University：Social Science Edition，2011，17(I)：35-41． 柴建，郭菊娥，龚利，等．基于Bayesian—SV—SGT模型的原油价格‘Value at Risk’估计【J】．系统工程理论与实践，201 1， 31(1)：8-17． Chai J，Guo J E，Gong L，et a1．Estimating crude oil price‘Value at Risk’using the Bayesian-SV-SGT approach[J]． Systems Engineering—Theory＆Practice，2011，31(1)：8-17． Krehbiel T，Adkins L C．Price risk in the NYMEX energy complex：An extreme value approach[J]．Journal of Fhtures Markets，2005，25(4)：309-337． Marimoutou V，Raggad B，Trabelsi A．Extreme value theory and value at risk：Application to oil market[J1． Energy Economics，2009，31(4)：519-530． 余炜彬，范英，魏一鸣．基于极值理论的原油市场价格风险VaR的研究【J】．系统工程理论与实践，2007，27(8)：12～20． Yu WB，Fan Y，Wei Y M．Price risk in crude oil markets：A VaR approach of EVT[J]．Systems Engineering—— Theory＆Practice，2007，27(8)：12—20． Huang D，Yu B，Fabozzi F，et a1．CAViaR-based forecast for oil price risk[J]．Energy Economics，2009，31(4)： 511-518． 王新宇，宋学锋．间接TARCH—CAViaR模型及其MCMC参数估计与应用[J]．系统工程理论与实践，2008，28(9)： 46-51． Wang X Y．Song X F．Indirect TARCH—CAViaR model and its parameter estimation by MCMC method with an application[J]．Systems Engineering—Theory&Practice，2008，28(9)：46．51． 王新宇，宋学锋．基于贝叶斯分位数回归的市场风险测度模型与应用[J】．系统管理学报，2009，18(1)：4048． Wang X Y．Song x F．Measure market risk based on Bayesian quantile regression model with an application[J]． Journal of Systems and Management，2009，18(1)：40-48． Gerlach R，Chen C，Chan N．Bayesian time-varying quantile forecasting for value-at—risk in financial markets[J1． Journal of Business and Economic Statistics，2011，29(4)：481-492． Yu K，Zhang J．A three-parameter asymmetric Laplace distribution and its extension[J]．Communications in Statistics——Theory and Methods，2005，34：1867-1879． Ntzoufras I．Bayesian modeling using WinBUGS[M]．John Wiley＆Sons，Inc，2009． Kass R，Raftery A．Bayes factors[JI．Journal of American Statistical Association，1995，90(430)：773—795． Berkowitz J，Christoffersen P，Pelletier D．Evaluating value-at-risk models with desk-level data[J]．Management Science，2011，57(2)：2213—2227． Hendricks D．Evaluation of value-at—risk models using historical data[J1．Economic Policy Review，1996，2：39-69． Reed C，Yu K．A partially collapsed Gibbs sampler for Bayesian quantile regression[R]．Working Paper，Brunel University,2009． 孔 弱 ∞打勰 四∞ 万方数据