{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,27]],"date-time":"2026-09-27T05:03:52Z","timestamp":1790485432878,"version":"4.1.0"},"reference-count":66,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2018,8,29]],"date-time":"2018-08-29T00:00:00Z","timestamp":1535500800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2019,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>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 parameters evolve according to a Markov switching generalized autoregressive score (GAS) dynamics. Maximum likelihood estimation is performed using a two\u2010step procedure where the second step relies on the expectation\u2013maximization algorithm. The proposed switching GAS copula models are then used to estimate the conditional value at risk and the conditional expected shortfall, measuring the impact on an institution of extreme events affecting another institution or the market. The empirical investigation, conducted on a panel of European regional portfolios, reveals that the proposed model is able to explain and predict the evolution of the systemic risk contributions over the period 1999\u20132015.<\/jats:p>","DOI":"10.1002\/jae.2650","type":"journal-article","created":{"date-parts":[[2018,8,30]],"date-time":"2018-08-30T06:25:07Z","timestamp":1535610307000},"page":"43-65","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":63,"title":["Switching generalized autoregressive score copula models with application to systemic risk"],"prefix":"10.1002","volume":"34","author":[{"given":"Mauro","family":"Bernardi","sequence":"first","affiliation":[{"name":"Department of Statistical Sciences University of Padova Padua Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Leopoldo","family":"Catania","sequence":"additional","affiliation":[{"name":"Department of Economics and Business Economics Aarhus University and CREATES Aarhus Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2018,8,29]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"crossref","unstructured":"Adrian T. &Brunnermeier M. K.(2011).CoVaR. (NBER Working Paper No.17454).Cambridge MA: National Bureau of Economic Research.","DOI":"10.3386\/w17454"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20120555"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2008.12.002"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00068"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jtsa.12211"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2016.09.005"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00477-017-1425-9"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1214\/14-BA911"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2017.04.005"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm8020198"},{"key":"e_1_2_9_12_1","unstructured":"Bhattacharyya S. &Bickel P. J(2014).Adaptive estimation in elliptical distributions with extensions to high dimensions. Preprint."},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.010"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110311-101754"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1086\/261527"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhw060"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.23.1.77"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn098"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/0-387-28982-8"},{"key":"e_1_2_9_20_1","unstructured":"Catania L.(2016).Dynamic adaptive mixture models. arXiv preprint arXiv:1603.01308."},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp014"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1279"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00393"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1751-5823.2005.tb00254.x"},{"issue":"1","key":"e_1_2_9_26_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.2517-6161.1977.tb01600.x","article-title":"Maximum likelihood from incomplete data via the EM algorithm","volume":"39","author":"Dempster A. P.","year":"1977","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527342"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1201\/b18674"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-044450896-6.50010-8"},{"key":"e_1_2_9_30_1","first-page":"69","article-title":"Correlation: Pitfalls and alternatives","volume":"12","author":"Embrechts P.","year":"1999","journal-title":"RISK"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511615337.008"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618487"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfu012"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90099-F"},{"key":"e_1_2_9_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2017.01.006"},{"issue":"441","key":"e_1_2_9_36_1","first-page":"359","article-title":"On Bayesian modeling of fat tails and skewness","volume":"93","author":"Fern\u00e1ndez C.","year":"1998","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_9_37_1","series-title":"Springer Series in Statistics","volume-title":"Finite Mixture and Markov Switching Models","author":"Fr\u00fchwirth\u2010Schnatter S.","year":"2006"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.02.027"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177705693"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh020"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1197"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781139540933"},{"issue":"498","key":"e_1_2_9_45_1","first-page":"847","article-title":"[Review of the book GARCH models: Structure, statistical inference and financial applications, by C. Francq & J.\u2010M. Zakolan]","volume":"107","author":"Huang J.","year":"2012","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_9_46_1","volume-title":"Monographs on Statistics and Applied Probability: Vol.134. Dependence Modeling with Copulas","author":"Joe H.","year":"2015"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2006.04.007"},{"key":"e_1_2_9_48_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1995.407942"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.873540"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1515\/strm-2013-1164"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2011.608042"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1054"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1002\/9780470191613.scard"},{"key":"e_1_2_9_54_1","doi-asserted-by":"publisher","DOI":"10.1002\/0471721182"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2016.1177535"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.865"},{"key":"e_1_2_9_57_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2006.00387.x"},{"key":"e_1_2_9_58_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-62731-5.00016-6"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.013"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00140873"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1994.10476870"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2014.12.002"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.07.002"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1002\/2015WR017225"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9469.2005.00483.x"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618496"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1201\/9781420010893"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2650","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2650","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2650","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2650","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,9]],"date-time":"2024-07-09T15:34:46Z","timestamp":1720539286000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2650"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,8,29]]},"references-count":66,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2019,1]]}},"alternative-id":["10.1002\/jae.2650"],"URL":"https:\/\/doi.org\/10.1002\/jae.2650","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,8,29]]},"assertion":[{"value":"2015-12-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-09","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-08-29","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}