Anticipating extreme losses using score-driven shape filters
type: Item
instance of: scholarly article
title: Anticipating extreme losses using score-driven shape filters
author: Q6552985
author: Szabolcs Blazsek
author: Alvaro Escribano
publication date: 2024-06-11T00:00:00Z
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7863045
zbMATH Keywords: dynamic conditional score (DCS)
zbMATH Keywords: generalized autoregressive score (GAS)
zbMATH Keywords: score-driven shape parameters
zbMATH Keywords: value-at-risk (VaR)
zbMATH Keywords: VaR backtesting
MaRDI profile type: MaRDI publication profile
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published in: Studies in Nonlinear Dynamics & Econometrics
DOI: 10.1515/SNDE-2021-0102
description: scientific article; zbMATH DE number 7863045