Anticipating extreme losses using score-driven shape filters

DOI10.1515/snde-2021-0102MaRDI QIDQ6553216

Alvaro Escribano, Unnamed Author, Szabolcs Blazsek

Publication date: 11 June 2024

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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