Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

DOI10.1515/SNDE-2012-0021zbMath1506.62412OpenAlexW6339089MaRDI QIDQ5881707

Jouchi Nakajima

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

zbMATH Keywords

stochastic volatilityvalue-at-riskgeneralized hyperbolic skew Student's \(t\)-distributionexchange rate returnregime-switching skewness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Stochastic models in economics (91B70)

Related Items (3)

Dissecting skewness under affine jump-diffusions ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles

This page was built for publication: Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns