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Heavy-tailed-distributed threshold stochastic volatility models in financial time series (Q6573726)

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scientific article; zbMATH DE number 7882090
Language Label Description Also known as
English
Heavy-tailed-distributed threshold stochastic volatility models in financial time series
scientific article; zbMATH DE number 7882090

    Statements

    title
    Heavy-tailed-distributed threshold stochastic volatility models in financial time series (English)
    0 references
    author
    Cathy W. S. Chen
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    Feng-Chi Liu
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    Mike K. P. So
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    publication date
    17 July 2024
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    zbMATH Keywords
    Kalman filter
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    Markov chain Monte Carlo method
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    state space model
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    stochastic volatility models
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    threshold
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    value-at-risk
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    Identifiers

    Mathematics Subject Classification ID
    62Mxx
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    62Pxx
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    91Bxx
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    zbMATH DE Number
    7882090
    0 references
     
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