SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A conditional-SGT-VaR approach with alternative GARCH models · Study

ArticleShelves

ArticleA conditional-SGT-VaR approach with alternative GARCH models

Turan G. Bali2006

OA

Articlegreen2006

A conditional-SGT-VaR approach with alternative GARCH models

Turan G. Bali · Panayiotis Theodossiou

145 citations·0/0 files stored·Annals of Operations Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 145 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999Coherent Measures of Risk 1985A Theory of the Term Structure of Interest Rates 2000Optimization of conditional value-at-risk 1992ARCH modeling in finance

Cited by

2016Frontiers in VaR forecasting and backtesting 2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR 2006Cyclicality in catastrophic and operational risk measurements 2010Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns 2007A Generalized Extreme Value Approach to Financial Risk Measurement 2006A robust VaR model under different time periods and weighting schemes

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaRarticle · 29 shared references 2008Glossary to ARCH (GARCH)preprint · 24 shared references 2013A comprehensive review of Value at Risk methodologiesarticle · 23 shared references 2007Testing mean reversion in financial market volatility: Evidence from S&P 500 index futuresarticle · 21 shared references 2005Volatility Forecastingreport · 20 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 19 shared references

Details

Year2006

Typearticle

Published2006-12-06

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations145

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/s10479-006-0118-4

openalex_workW2003201741

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock

2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis