Keywords and phrases: value at risk, Hurst parameter, stochastic volatility, self-similar.
Received: May 28, 2021; Accepted: July 9, 2021; Published: August 14, 2021
How to cite this article: Mohammed Alhagyan, Masnita Misiran, Zurni Omar, Nadia Edmaz Abdul Hadi, Nattakorn Phewchean and Khaled Matarneh, Value at risk with stochastic volatility perturbed by Hurst parameter, Advances and Applications in Statistics 70(1) (2021), 31-43. DOI: 10.17654/AS070010031
This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License
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