1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Δημοσιεύσεις σε συνέδρια /Conference papers or poster or presentation
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/14275
DC FieldValueLanguage
dc.contributor.authorBali, Turan G.-
dc.contributor.authorTheodossiou, Panayiotis-
dc.date.accessioned2019-07-03T08:53:50Z-
dc.date.available2019-07-03T08:53:50Z-
dc.date.issued2007-04-01-
dc.identifier.citationAnnals of Operations Research Volume 151, Issue 1, April 2007, Pages 241-267en_US
dc.identifier.issn2-s2.0-33847266802-
dc.identifier.issnhttps://api.elsevier.com/content/abstract/scopus_id/33847266802-
dc.identifier.issn2-s2.0-33847266802-
dc.identifier.issn2-s2.0-33847266802-
dc.identifier.issn02545330-
dc.identifier.issnhttps://api.elsevier.com/content/abstract/scopus_id/33847266802-
dc.identifier.issn2-s2.0-33847266802-
dc.identifier.issnhttps://api.elsevier.com/content/abstract/scopus_id/33847266802-
dc.identifier.issn2-s2.0-33847266802-
dc.identifier.issnhttps://api.elsevier.com/content/abstract/scopus_id/33847266802-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/14275-
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. © 2006 Springer Science+Business Media, LLC.en_US
dc.language.isoenen_US
dc.relation.ispartofAnnals of Operations Researchen_US
dc.subjectConditional value at risken_US
dc.subjectExpected shortfallen_US
dc.subjectGARCH modelsen_US
dc.subjectSkewed generalized t distributionen_US
dc.titleA conditional-SGT-VaR approach with alternative GARCH modelsen_US
dc.typeConference Papersen_US
dc.collaborationAristotle University of Thessalonikien_US
dc.collaborationRutgers Universityen_US
dc.collaborationBaruch Collegeen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscription Journalen_US
dc.countryUnited Statesen_US
dc.countryGreeceen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1007/s10479-006-0118-4en_US
dc.identifier.scopus2-s2.0-33847266802-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/33847266802-
cut.common.academicyear2007-2008en_US
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_c94f-
item.cerifentitytypePublications-
item.openairetypeconferenceObject-
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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