The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR

Journal of Banking and Finance

Volumn 32, Issue 2, 2008, Pages 269-282

  Bali, Turan G ^a,b   Mo, Hengyong ^c   Tang, Yi ^a  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b KOÇ UNIVERSITY   (Turkey)

^c Credit Suisse USA   (United States)

Author keywords

Conditional skewness and kurtosis; Conditional value at risk; GARCH; Skewed generalized t distribution

Indexed keywords

EID: 38849173159     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.03.009     Document Type: Article

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