Anticipating extreme losses using score-driven shape filters

DOI10.1515/SNDE-2021-0102MaRDI QIDQ6553216zbMATH OpenFDO

Authors Szabolcs Blazsek, Alvaro Escribano

Publication date 11 June 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/SNDE-2021-0102

zbMATH Keywords

dynamic conditional score (DCS)generalized autoregressive score (GAS)score-driven shape parametersvalue-at-risk (VaR)VaR backtesting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(3)

• Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
• Generalized autoregressive conditional betas: a new multivariate score-driven filter
• Volatility forecasting using quasi-score-driven models with an application to the coronavirus pandemic period

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