Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach

Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach

© Published under licence by IOP Publishing Ltd. This study analyzes Bayesian Markov-Switching of the single regime and the two regimes to forecast the risk of the exchange rate in three ASEAN countries, and various GARCH family and distribution are selected by DIC to find the best fitting models. T...

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書目詳細資料
Main Authors:	Mingyang Li, Ruofan Liao, Songsak Sriboonchitta
格式:	Conference Proceeding
出版:	2020
主題:	Physics and Astronomy
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85090499712&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/71031
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