Work

A conditional-SGT-VaR approach with alternative GARCH models

Year: 2006

Type: article

Source: Annals of Operations Research

DOI: 10.1007/s10479-006-0118-4

Authors: Turan G. Bali, Panayiotis Theodossiou

Institutions: Baruch College, Rutgers, The State University of New Jersey, Aristotle University of Thessaloniki

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: City University of New York, Aristotle University of Thessaloniki

OpenAlex ID: W2003201741

FWCI: 12.96

Cites: 61

Cited by: 145

Related to: 10