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The intertemporal capital asset pricing model with dynamic conditional correlations
Bali, Turan G.; Engle, Robert F. - In: Journal of monetary economics 57 (2010) 4, pp. 377-390
Persistent link: https://www.econbiz.de/10008666431
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657
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An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options
Bali, Turan G. - In: Management science : journal of the Institute for … 53 (2007) 2, pp. 323-339
Persistent link: https://www.econbiz.de/10003435740
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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
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Modeling the stochastic behavior of short-term interest rates : pricing implications for discount bonds
Bali, Turan G. - In: Journal of banking & finance 27 (2003) 2, pp. 201-228
Persistent link: https://www.econbiz.de/10001721795
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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
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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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US money demand and the welfare cost of inflation in a currency-deposit model
Bali, Turan G. - In: Journal of economics & business 52 (2000) 3, pp. 233-258
Persistent link: https://www.econbiz.de/10001496465
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An empirical comparison of continuous time models of the short term interest rate
Bali, Turan G. - In: The journal of futures markets 19 (1999) 7, pp. 777-797
Persistent link: https://www.econbiz.de/10001443351
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755