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Turan G. Bali
Information about the author Turan G. Bali will soon be added to the site.
Found
3 papers
in total
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An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options
2007
This paper proposes an extreme value approach to estimating interest-rate volatility,...
Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
2007
This paper proposes generalized parametric models of the short-term interest rate that...
A conditional-SGT-VaR approach with alternative GARCH models
2007
This paper proposes a conditional technique for the estimation of VaR and expected...
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