A. Tolga Ergun

State Street Corporate

1 Lincoln Street

Boston, MA 02111

United States

SCHOLARLY PAPERS

5

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Top 25,697

in Total Papers Downloads

1,798

CITATIONS

5

Scholarly Papers (5)

1.

Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR

Number of pages: 38 Posted: 14 Mar 2011 Last Revised: 03 Dec 2012
Giulio Girardi and A. Tolga Ergun
Securities and Exchange Commission and State Street Corporate
Downloads 1,275 (14,848)
Citation 3

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Value-at-Risk, Conditional Value-at-Risk, Systemic Risk, DCC Model

2.

Skewness Preference in Financial Markets

Number of pages: 13 Posted: 28 Dec 2010 Last Revised: 23 Jan 2012
A. Tolga Ergun
State Street Corporate
Downloads 289 (104,337)

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Skewness preference, agency problem, robust skewness

3.

Skewness and Kurtosis Persistence: Conventional vs. Robust Measures

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 17 Posted: 21 Jun 2011 Last Revised: 14 Sep 2011
A. Tolga Ergun
State Street Corporate
Downloads 221 (137,310)
Citation 2

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Skewness, Kurtosis, Persistence, Robustness

4.

On the Revelation of Private Information in the U.S. Crop Insurance Program

Journal of Risk & Insurance, Vol. 74, No. 4, pp. 761-776, December 2007
Number of pages: 16 Posted: 18 Nov 2007
A. Tolga Ergun and Alan P. Ker
State Street Corporate and University of Arizona - Department of Agricultural and Resource Economics
Downloads 13 (560,110)
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5.

Time-Varying Optimal Currency Hedging and the Preference for Skewness

Posted: 22 Mar 2010 Last Revised: 09 Mar 2011
Yongyang Su and A. Tolga Ergun
Suffolk University - Department of Economics and State Street Corporate

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Optimal Hedge Ratio, Skewness, Risk Aversion, Futures, Foreign Exchange, Currency