Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

DOI10.1515/SNDE-2012-0021MaRDI QIDQ5881707zbMATH OpenOpenAlexFDO

Authors Jouchi Nakajima

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0021

zbMATH Keywords

exchange rate returngeneralized hyperbolic skew Student's \(t\)-distributionregime-switching skewnessstochastic volatilityvalue-at-risk

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Statistical methods; risk measures (91G70)

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Cited in

(12)

• Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• A switching self-exciting jump diffusion process for stock prices
• Stochastic modeling of currency exchange rates with novel validation techniques
• Dissecting skewness under affine jump-diffusions
• MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
• Modelling exchange rate returns: which flexible distribution to use?
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Skew selection for factor stochastic volatility models
• On model robustness of the regime switching approach for pegged foreign exchange markets
• Vector autoregression models with skewness and heavy tails
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles

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