A value-at-risk analysis of carry trades using skew-GARCH models (Q5881703)
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scientific article; zbMATH DE number 7662318
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A value-at-risk analysis of carry trades using skew-GARCH models |
scientific article; zbMATH DE number 7662318 |
Statements
A value-at-risk analysis of carry trades using skew-GARCH models (English)
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13 March 2023
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currency markets
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carry trade
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skew-normal GARCH
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EM-type algorithm
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