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Excessive variation in risk-factor correlations and volatilities

Bali, Turan G.; Genberg, Hans; Neftci, Salih N. - In: The journal of futures markets 22 (2002) 12, pp. 1119-1146

Persistent link: https://www.econbiz.de/10001713588

The conditional beta and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Tang, Yi - In: Financial management 38 (2009) 1, pp. 103-137

Persistent link: https://www.econbiz.de/10003851884

A conditional extreme value volatility estimator based on high-frequency returns

Bali, Turan G.; Weinbaum, David - In: Journal of economic dynamics & control 31 (2007) 2, pp. 361-397

Persistent link: https://www.econbiz.de/10003412285

Idiosyncratic volatility and the cross section of expected returns

Bali, Turan G.; Cakici, Nusret - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 29-58

Persistent link: https://www.econbiz.de/10003692380

A generalized extreme value approach to financial risk measurement

Bali, Turan G. - In: Journal of money, credit and banking : JMCB 39 (2007) 7, pp. 1613-1649

Persistent link: https://www.econbiz.de/10003549211

Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

Dynamic conditional beta is alive and well in the cross-section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...

Persistent link: https://www.econbiz.de/10009710605

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - 2011

Persistent link: https://www.econbiz.de/10009406481

A new approach to measuring riskiness in the equity market : implications for the risk premium

Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117

Persistent link: https://www.econbiz.de/10011543805

An extreme value approach to estimating volatility and value at risk

Bali, Turan G. - In: The journal of business : B 76 (2003) 1, pp. 83-108

Persistent link: https://www.econbiz.de/10001743598