Switching generalized autoregressive score copula models with application to systemic risk
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DOI: 10.1002/jae.2650
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Cited by:
- Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
- Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
- Tingguo Zheng & Hongyin Zhang & Shiqi Ye, 2024. "Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network," Papers 2405.02575, arXiv.org, revised Oct 2024.
- Michel Ferreira Cardia Haddad & Szabolcs Blazsek & Philip Arestis & Franz Fuerst & Hsia Hua Sheng, 2023. "The two-component Beta-t-QVAR-M-lev: a new forecasting model," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(4), pages 379-401, December.
- Chang, Kuang-Liang, 2023. "The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022.
"Dynamic Mixture Vector Autoregressions with Score-Driven Weights,"
Working Paper Series
2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2023. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," CESifo Working Paper Series 10366, CESifo.
- Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
- Gkillas, Konstantinos & Konstantatos, Christoforos & Papathanasiou, Spyros & Wohar, Mark, 2023. "Estimation of value at risk for copper," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Gavronski, Pedro Gerhardt & Ziegelmann, Flavio A., 2021. "Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis," Finance Research Letters, Elsevier, vol. 38(C).
- Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Psaradakis, Zacharias & Sola, Martin, 2024.
"Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities,"
Econometrics and Statistics, Elsevier, vol. 29(C), pages 49-63.
- Martín Sola & Zacharias Psaradakis, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Department of Economics Working Papers 2017_01, Universidad Torcuato Di Tella.
- Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
- Alanya-Beltran Willy, 2023. "Modelling volatility dependence with score copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(5), pages 649-668, December.
- Gong, Yuting & Li, Kevin X. & Chen, Shu-Ling & Shi, Wenming, 2020. "Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 136(C).
- Ouyang, Ruolan & Zhuang, Chengkai & Wang, Tingting & Zhang, Xuan, 2022. "Network analysis of risk transmission among energy futures: An industrial chain perspective," Energy Economics, Elsevier, vol. 107(C).
- Ortega-Jiménez, P. & Sordo, M.A. & Suárez-Llorens, A., 2021. "Stochastic orders and multivariate measures of risk contagion," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 199-207.
- Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
- Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
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