Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
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DOI: 10.1515/snde-2012-0021
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- Iseringhausen, Martin, 2020.
"The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
- Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
- Stéphane Lhuissier, 2019. "Bayesian Inference for Markov-switching Skewed Autoregressive Models," Working papers 726, Banque de France.
- Iseringhausen, Martin, 2024.
"A time-varying skewness model for Growth-at-Risk,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 229-246.
- Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
- Donatien Hainaut & Franck Moraux, 2019.
"A switching self-exciting jump diffusion process for stock prices,"
Annals of Finance, Springer, vol. 15(2), pages 267-306, June.
- Hainaut, Donatien & Moraux, Franck, 2018. "A switching self-exciting jump diffusion process for stock prices," LIDAM Discussion Papers ISBA 2018013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hainaut, Donatien & Moraux, Franck, 2019. "A switching self-exciting jump diffusion process for stock prices," LIDAM Reprints ISBA 2019017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.
- Jeffrey Chu & Saralees Nadarajah & Stephen Chan, 2015. "Statistical Analysis of the Exchange Rate of Bitcoin," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
- Zhen Fang & Zhang Jin E., 2020. "Dissecting skewness under affine jump-diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-19, September.
- Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Saldaña-Zepeda, Dayna P. & Velasco-Cruz, Ciro & Torres-Preciado, Víctor H., 2020. "Mexican peso-USD exchange rate: A switching linear dynamical model application," International Economics, Elsevier, vol. 162(C), pages 80-91.
- Lhuissier, Stéphane, 2022.
"Financial conditions and macroeconomic downside risks in the euro area,"
European Economic Review, Elsevier, vol. 143(C).
- Lhuissier Stéphane, 2022. "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers 863, Banque de France.
- Carlos A. Abanto-Valle & Hernán B. Garrafa-Aragón, 2019. "Threshold Stochastic Volatility Models with Heavy Tails:A Bayesian Approach," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 32-53.
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Keywords
exchange rate return; generalized hyperbolic skew Student’s t-distribution; regime-switching skewness; stochastic volatility; Value-at-Risk;All these keywords.
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