Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns (Q5881707)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns |
scientific article; zbMATH DE number 7662321
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
0 references
13 March 2023
0 references
exchange rate return
0 references
generalized hyperbolic skew Student's \(t\)-distribution
0 references
regime-switching skewness
0 references
stochastic volatility
0 references
value-at-risk
0 references
