Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk
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- Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
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More about this item
Keywords
Dynamic Conditional Score Models;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-07-29 (Econometrics)
- NEP-ETS-2019-07-29 (Econometric Time Series)
- NEP-ORE-2019-07-29 (Operations Research)
- NEP-RMG-2019-07-29 (Risk Management)
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