Anticipating extreme losses using score-driven shape filters (Q6553216)
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scientific article; zbMATH DE number 7863045
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| English | Anticipating extreme losses using score-driven shape filters |
scientific article; zbMATH DE number 7863045 |
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Anticipating extreme losses using score-driven shape filters (English)
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11 June 2024
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dynamic conditional score (DCS)
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generalized autoregressive score (GAS)
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score-driven shape parameters
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value-at-risk (VaR)
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VaR backtesting
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