Similar Items: Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
- Modelling illiquid volatility skews
- Markov-Switching models and resultant equity implied volatility surfaces: a South African application
- Two approaches to modelling the volatility skew
- Historically implied swaption skews using non-parametric methods
- A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
- Option pricing using hidden Markov models
Author: Clark, Allan
- Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
- Modelling non-linearity in 3D shapes: A comparative study of Gaussian process morphable models and variational autoencoders for 3D shape data
- Human action recognition with 3D convolutional neural networks
- The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
- Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
- Efficient Bayesian analysis of spatial occupancy models