A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate). For this purpose, we assess the performance of two long memory Value-at-Risk (VaR...

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Bibliographic Details
Main Authors: Seong¡-Min Yoon, Sang-Hoon Kang
Format: Article
Language:English
Published: Korea Institute for International Economic Policy 2007-06-01
Series:East Asian Economic Review
Subjects:
Value-at-Risk
Japanese Financial Markets
Volatility
Asymmetry
Long Memory
Skewed Student-t Distribution
Online Access:http://dx.doi.org/10.11644/KIEP.JEAI.2007.11.1.169

Internet

http://dx.doi.org/10.11644/KIEP.JEAI.2007.11.1.169

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