Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns (Q5881707)
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scientific article; zbMATH DE number 7662321
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| English | Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns |
scientific article; zbMATH DE number 7662321 |
Statements
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns (English)
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13 March 2023
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exchange rate return
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generalized hyperbolic skew Student's \(t\)-distribution
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regime-switching skewness
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stochastic volatility
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value-at-risk
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0.8465836644172668
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0.8345304131507874
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0.8239920735359192
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0.8239539265632629
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