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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

Disturbing extremal behavior of spot rate dynamics

Bali, Turan G.; Neftci, Salih N. - In: Journal of empirical finance 10 (2003) 4, pp. 455-477

Persistent link: https://www.econbiz.de/10001782291

Estimating the term structure of interest rate volatility in extreme values

Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14

Persistent link: https://www.econbiz.de/10001580717

Value at risk calculations, extreme events, and tail estimation

Neftci, Salih N. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 23-37

Persistent link: https://www.econbiz.de/10001497755

A Comparison of US and Hong Kong Cap-Floor Volatility Dynamics

McNelis, Paul D. - 2007

In this paper we investigate the dynamics of Hong Kong cap-floor volatilities and compare their dynamics with the US cap-floor volatilities. We use linear and non-linear factor models and VAR's. The results show that the first principal components, both linear and non-linear, do a very good job...

Persistent link: https://www.econbiz.de/10012729350