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Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting
Accurate forecasting of volatility is essential for financial risk management and for the evaluation of tail risk measures such as value-at-risk (VaR) and expected shortfall (ES). This study proposes the realized stochastic volatility (RSV) model, an extension of the traditional stochastic volatilit
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