This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat-tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending the Markov...

With the regulatory requirements for risk management, Value at Risk (VaR) has become an essential tool in determining capital reserves to protect the risk induced by adverse market movements. The fact that VaR is not coherent has motivated the industry to explore alternative risk measures like...

This paper studies a threshold extreme value distribution for modeling standardized financial returns. The main theme is tail asymmetry, which means that the left and right tails of the standardized return distribution are not identical. The peak-over-threshold idea in extreme value theory is...