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Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100535
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Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100546
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Dynamic conditional score models with time-varying location, scale and shape parameters
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2017
Persistent link: https://www.econbiz.de/10011800085
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484
Persistent link: https://www.econbiz.de/10014372905