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A value-at-risk analysis of carry trades using skew-GARCH models - MaRDI portal

A value-at-risk analysis of carry trades using skew-GARCH models

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Publication:5881703

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DOI10.1515/SNDE-2012-0028zbMath1506.62420OpenAlexW2064452738MaRDI QIDQ5881703

Huimin Chung, Jia-Hau Guo, Unnamed Author

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-2012-0028

zbMATH Keywords

EM-type algorithm carry trade currency markets skew-normal GARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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