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

By Turan G. Bali, Hengyong Mo, Yi Tang. 2008

133 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Is international diversification really beneficial (2010, background): “Portfolio managers, corporate treasures, fund managers, bank executives, and regulators employ VaR to obtain the potential loss associated with the portfolio at some specific confidence interval over a given investment horizon (Pearson, 2000; Bali et al., 2008; Quaranta and Zaffaroni, 2008).”
The Impact of Terrorism on Financial Markets: An Empirical Study (2011, methodology): “(2001), Longin (2005) and Bali et al. (2008). The GARCH method works as follows.”
A comprehensive review of Value at Risk methodologies (2014, methodology): “Bali et al. (2008) introduced a new method based on the SGT with time-varying parameters.”
Frontiers in VaR forecasting and backtesting (2016, background): “Bali et al. (2008) and Dark (2010) consider SGT and Skewed-Student distributions, respectively, with time-varying parameters which depend on past information.”