Markov-Switching GARCH Models for Cryptocurrency VaR Regime-Dependent Volatility Modeling with Student-t Innovations

2026 Open access

Read full text
Authors: Alexandre Ywata De Carvalho, Mathias Schneid Tessmann, Paula de Castro Kruly
DOI: 10.13140/rg.2.2.33007.09121
Cited by: 0

Fields of Study & Subjects

Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

Publication details

Publication date
1 January 2026
Language
EN