A conditional-SGT-VaR approach with alternative GARCH models

Bali, Turan G., Theodossiou, Panayiotis . Annals of Operations Research 2007. 151 (1) :241-267

Locate this article in:

Bibtex

@article{CIS-212918,
  Author = {Bali, Turan G. and Theodossiou, Panayiotis},
  Title = {A conditional-SGT-VaR approach with alternative GARCH models},
  Journal = {Annals of Operations Research},
  Volume = {151},
  Number = {1},
  Year = {2007},
  Pages = {241--267},
  Keywords = {GARCH models, expected shortfall, conditional value at risk, Skewed generalized t distribution}
}

Similar articles