A conditional-SGT-VaR approach with alternative GARCH models

Annals of Operations Research

Volumn 151, Issue 1, 2007, Pages 241-267

  Bali, Turan G ^a   Theodossiou, Panayiotis ^b,c  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b ARISTOTLE UNIVERSITY OF THESSALONIKI   (Greece)

^c RUTGERS UNIVERSITY   (United States)

Author keywords

Conditional value at risk; Expected shortfall; GARCH models; Skewed generalized t distribution

Indexed keywords

EID: 33847266802     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0118-4     Document Type: Conference Paper

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