Bali, Turan G.; Mo, Hengyong; Tang, Yi - In: Journal of Banking & Finance 32 (2008) 2, pp. 269-282
This paper investigates the role of high-order moments in the estimation of conditional value at risk (VaR). We use the skewed generalized t distribution (SGT) with time-varying parameters to provide an accurate characterization of the tails of the standardized return distribution. We allow the...