Research Article

Financial Applications of Bivariate Markov Processes

Table 1


VaR

Markov Gaussian 0.0100 0.0295 0.0485
EWMA Gaussian 0.0066 0.0206 0.0344
Markov Student 0.0099 0.0302 0.0497
EWMA Student 0.0092 0.0276 0.0398