Switching generalized autoregressive score copula models with application to systemic risk
马尔可夫切换广义自回归得分 Copula 模型及其系统性风险应用
Summary Recent financial disasters have emphasized 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 patterns observed in financial time series. In this paper, we develop a new class of flexible copula models where the dependence…