Essays on Dynamic Conditional Score Models and Breaks
thesisposted on 20.09.2022, 23:30 authored by WILLY ARTURO ALANYA BELTRAN
In this dissertation I develop three essays on dynamic conditional score (DCS) models for univariate and multivariate models. In the first essay, I focus on a DCS model with a short memory process with changes in regimes for volatility. I also study volatility dynamics in my second essay using score-based copula models with time-varying dependencies with two components. For my last essay, I propose a score-driven multivariate model with factors for the location or mean of a set of macroeconometric variables. All my essays deal with episodes of atypical observations such as the global financial crisis and the recent pandemic.