1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/1002
DC FieldValueLanguage
dc.contributor.authorBali, Turan G.-
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.otherΘεοδοσίου, Παναγιώτης-
dc.date.accessioned2010-01-11T08:43:13Zen
dc.date.accessioned2013-05-16T08:21:43Z-
dc.date.accessioned2015-12-02T08:37:05Z-
dc.date.available2010-01-11T08:43:13Zen
dc.date.available2013-05-16T08:21:43Z-
dc.date.available2015-12-02T08:37:05Z-
dc.date.issued2007-04-
dc.identifier.citationAnnals of Operations Research, 2007, vol. 151, no. 1, pp. 241-267.en_US
dc.identifier.issn15729338-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/1002-
dc.description.abstractThis paper proposes a conditional technique for the estimation of VaR and expected shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of the conditional mean and conditional variance of returns is based on ten popular variations of the GARCH model. The results indicate that the TS-GARCH and EGARCH models have the best overall performance. The remaining GARCH specifications, except in a few cases, produce acceptable results. An unconditional SGT-VaR performs well on an in-sample evaluation and fails the tests on an out-of-sample evaluation. The latter indicates the need to incorporate time-varying mean and volatility estimates in the computation of VaR and expected shortfall measures.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofAnnals of Operations Researchen_US
dc.rights© Springer Natureen_US
dc.subjectGARCH modelsen_US
dc.subjectSkewed generalized t distributionen_US
dc.subjectConditional value at risken_US
dc.subjectExpected shortfallen_US
dc.titleA conditional-SGT-VaR approach with alternative GARCH modelsen_US
dc.typeArticleen_US
dc.collaborationAristotle University of Thessalonikien_US
dc.journalsSubscriptionen_US
dc.countryGreeceen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1007/s10479-006-0118-4en_US
dc.dept.handle123456789/54en
dc.relation.issue1en_US
dc.relation.volume151en_US
cut.common.academicyear2007-2008en_US
dc.identifier.spage241en_US
dc.identifier.epage267en_US
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn1572-9338-
crisitem.journal.publisherSpringer Nature-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.parentorgFaculty of Management and Economics-
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