Search Results - subject:"Score driven"

Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - In: Macroeconomic dynamics 28 (2024) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10014465380

Dynamic modelling of heavy-tailed cylindrical time series

Fotso, Chris Toumping; Özer, Yeliz; Palumbo, Dario; … - 2026

A dynamic modelling for heavy-tailed cylindrical time series is developed by combining score-driven models with a …

Persistent link: https://www.econbiz.de/10015612419

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://www.econbiz.de/10015592338

Asymmetric uncertainty : nowcasting using skewness in real-time data

Labonne, Paul - In: International journal of forecasting 41 (2025) 1, pp. 229-250

Persistent link: https://www.econbiz.de/10015440304

Barron-Loss adaptive estimation

Punder, Ramon de; Dijkstra, Mathijs R. G.; Diks, Cees G. H. - 2026

The score-driven framework relies on pre-specified scoring rules tied to assumed conditional densities, making it … vulnerable to misspecification under outliers or structural breaks. We embed the flexible Barron loss within the quasi score-driven … regularity conditions. Within an extended quasi score-driven estimation framework, obtained by generalizing the required moment …

Persistent link: https://www.econbiz.de/10015644884

Outlier-robust unit root tests for score-driven models : critical values and applications

Blazsek, Szabolcs; Lynch, Allen K.; Smith, Robert A. - In: Applied economics 57 (2025) 59, pp. 10646-10661

Persistent link: https://www.econbiz.de/10015628495

Dynamic partial correlation models

D'Innocenzo, Enzo; Lucas, André - In: Journal of econometrics 241 (2024) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10015075172

Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025

Persistent link: https://www.econbiz.de/10015324099

An impartial look at asset correlation stability and market structure

Wijler, Etienne; Lucas, André - 2025

We develop a data-driven procedure to identify which correlations in high-dimensional dynamic systems should be time-varying, constant, or zero. The method integrates a vine-based multivariate partial correlation model with sequential penalized estimation. Applied to 50 US equities and...

Persistent link: https://www.econbiz.de/10015463577

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1010-1025

Persistent link: https://www.econbiz.de/10015053528