Monash Thesis Alanya-Beltran.pdf (4.66 MB)
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Essays on Dynamic Conditional Score Models and Breaks

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posted 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.

History

Campus location

Australia

Principal supervisor

Heather Anderson

Additional supervisor 1

Benjamin Wong

Year of Award

2022

Department, School or Centre

Econometrics and Business Statistics

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Faculty

Faculty of Business and Economics