Matches in SemOpenAlex for { <https://semopenalex.org/work/W1882287196> ?p ?o ?g. }
- W1882287196 abstract "Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme events strongly relies on their flexibility to account for the highly nonlinear and asymmetric dependence observed in financial returns. We develop a new class of flexible Copula models where the evolution of the dependence parameters follow a Markov-Switching Generalised Autoregressive Score (SGASC) dynamics. Maximum Likelihood estimation is consistently performed using the Inference Functions for Margins (IFM) approach and a version of the Expectation-Maximisation (EM) algorithm specifically tailored to this class of models. The SGASC models are then used to estimate the Conditional Value-at-Risk (CoVaR), which is defined as the VaR of a given asset conditional on another asset (or portfolio) being in financial distress, and the Conditional Expected Shortfall (CoES). Our empirical investigation shows that the proposed SGASC models are able to explain and predict the systemic risk contribution of several European countries. Moreover, we also find that the SGASC models outperform competitors using several CoVaR backtesting procedures." @default.
- W1882287196 created "2016-06-24" @default.
- W1882287196 creator A5007464316 @default.
- W1882287196 creator A5057306259 @default.
- W1882287196 date "2015-04-14" @default.
- W1882287196 modified "2023-09-23" @default.
- W1882287196 title "Switching-GAS Copula Models for Systemic Risk Assessment" @default.
- W1882287196 cites W1488796176 @default.
- W1882287196 cites W1491718027 @default.
- W1882287196 cites W1533179050 @default.
- W1882287196 cites W1542184596 @default.
- W1882287196 cites W1551726439 @default.
- W1882287196 cites W1556071796 @default.
- W1882287196 cites W1579271636 @default.
- W1882287196 cites W1639275303 @default.
- W1882287196 cites W1727659491 @default.
- W1882287196 cites W1882651929 @default.
- W1882287196 cites W1902304647 @default.
- W1882287196 cites W1912128012 @default.
- W1882287196 cites W1914840709 @default.
- W1882287196 cites W1972454075 @default.
- W1882287196 cites W1975862407 @default.
- W1882287196 cites W1977480757 @default.
- W1882287196 cites W1977970167 @default.
- W1882287196 cites W1979575715 @default.
- W1882287196 cites W1985059128 @default.
- W1882287196 cites W1998968611 @default.
- W1882287196 cites W1999996900 @default.
- W1882287196 cites W2002859899 @default.
- W1882287196 cites W2005986688 @default.
- W1882287196 cites W2013206978 @default.
- W1882287196 cites W2016618653 @default.
- W1882287196 cites W2019291268 @default.
- W1882287196 cites W2019903543 @default.
- W1882287196 cites W2032705861 @default.
- W1882287196 cites W2049633694 @default.
- W1882287196 cites W2050238052 @default.
- W1882287196 cites W2061160212 @default.
- W1882287196 cites W2063593194 @default.
- W1882287196 cites W2071231614 @default.
- W1882287196 cites W2079898209 @default.
- W1882287196 cites W2082854060 @default.
- W1882287196 cites W2086546462 @default.
- W1882287196 cites W2093534945 @default.
- W1882287196 cites W2094006360 @default.
- W1882287196 cites W2112339981 @default.
- W1882287196 cites W2119436275 @default.
- W1882287196 cites W2120128522 @default.
- W1882287196 cites W2122549219 @default.
- W1882287196 cites W2153947535 @default.
- W1882287196 cites W2161808462 @default.
- W1882287196 cites W2204730588 @default.
- W1882287196 cites W2279638736 @default.
- W1882287196 cites W2494231988 @default.
- W1882287196 cites W2788755698 @default.
- W1882287196 cites W2798180542 @default.
- W1882287196 cites W2907233437 @default.
- W1882287196 cites W3023429964 @default.
- W1882287196 cites W3121430753 @default.
- W1882287196 cites W3121630491 @default.
- W1882287196 cites W3121823203 @default.
- W1882287196 cites W3122046970 @default.
- W1882287196 cites W3122071020 @default.
- W1882287196 cites W3122551254 @default.
- W1882287196 cites W3123085324 @default.
- W1882287196 cites W3123842146 @default.
- W1882287196 cites W3123875068 @default.
- W1882287196 cites W3124750543 @default.
- W1882287196 cites W3124937167 @default.
- W1882287196 cites W3125148728 @default.
- W1882287196 cites W3125354398 @default.
- W1882287196 cites W3125677584 @default.
- W1882287196 cites W3126113144 @default.
- W1882287196 cites W616969809 @default.
- W1882287196 cites W91069159 @default.
- W1882287196 cites W93027189 @default.
- W1882287196 hasPublicationYear "2015" @default.
- W1882287196 type Work @default.
- W1882287196 sameAs 1882287196 @default.
- W1882287196 citedByCount "3" @default.
- W1882287196 countsByYear W18822871962015 @default.
- W1882287196 countsByYear W18822871962016 @default.
- W1882287196 countsByYear W18822871962019 @default.
- W1882287196 crossrefType "posted-content" @default.
- W1882287196 hasAuthorship W1882287196A5007464316 @default.
- W1882287196 hasAuthorship W1882287196A5057306259 @default.
- W1882287196 hasConcept C10138342 @default.
- W1882287196 hasConcept C105795698 @default.
- W1882287196 hasConcept C106159729 @default.
- W1882287196 hasConcept C139719470 @default.
- W1882287196 hasConcept C144587487 @default.
- W1882287196 hasConcept C149782125 @default.
- W1882287196 hasConcept C154945302 @default.
- W1882287196 hasConcept C159877910 @default.
- W1882287196 hasConcept C161584116 @default.
- W1882287196 hasConcept C162324750 @default.
- W1882287196 hasConcept C17618745 @default.
- W1882287196 hasConcept C19244329 @default.
- W1882287196 hasConcept C2776214188 @default.
- W1882287196 hasConcept C2777606061 @default.