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~person:"Bali, Turan G."
~person:"Gouriéroux, Christian"
~subject:"ARCH model"
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Bali, Turan G.
Gouriéroux, Christian
McAleer, Michael
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Estimation adjusted VaR
Gouriéroux, Christian
;
Zakoïan, Jean-Michael
-
2012
Persistent link: https://www.econbiz.de/10009748868
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2
The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
Bali, Turan G.
;
Mo, Hengyong
;
Tang, Yi
- In:
Journal of banking & finance
32
(
2008
)
2
,
pp. 269-282
Persistent link: https://www.econbiz.de/10003647212
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3
Disturbing extremal behavior of spot rate dynamics
Bali, Turan G.
;
Neftci, Salih N.
- In:
Journal of empirical finance
10
(
2003
)
4
,
pp. 455-477
Persistent link: https://www.econbiz.de/10001782291
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