Forecasting VaR and ES through Markov Switching GARCH Models: Does the Specification Matter?
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Published:2024
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Author:
Hotta Luiz Koodi,Trucíos Maza Carlos César,Valls Pereira Pedro L.,Zevallos Mauricio