Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
DOI10.1515/SNDE-2012-0021zbMath1506.62412OpenAlexW6339089MaRDI QIDQ5881707
Publication date: 13 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2012-0021
stochastic volatilityvalue-at-riskgeneralized hyperbolic skew Student's \(t\)-distributionexchange rate returnregime-switching skewness
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Stochastic models in economics (91B70)
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