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The generalized extreme value distribution

Bali, Turan G. - In: Economics letters 79 (2003) 3, pp. 423-427

Persistent link: https://www.econbiz.de/10001755303

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

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

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

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

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

Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

Implied volatility spreads and expected market returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 87-101

Persistent link: https://www.econbiz.de/10011389785

Unusual news flow and the cross section of stock returns

Bali, Turan G.; Bodnaruk, Andrij; Scherbina, Anna; Tang, Yi - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4137-4155

Persistent link: https://www.econbiz.de/10011921496

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