Anticipating extreme losses using score-driven shape filters
Astrid Ayala, Szabolcs Blazsek and Alvaro Escribano
| Year of publication: |
2023
|
|---|---|
| Authors: | Ayala, Astrid ; Blazsek, Szabolcs ; Escribano, Álvaro |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 4, p. 449-484
|
| Subject: | dynamic conditional score (DCS) | generalized autoregressive score (GAS) | score-driven shape parameters | value-at-risk (VaR) | VaR backtesting | Risikomaß | Risk measure | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2021-0102 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014372905