ASP.NET Core Web API exception handling

I started using ASP.NET Core for my new REST API project after using regular ASP.NET Web API for many years. I don't see a good way to handle exceptions in ASP.NET Core Web API. I tried to implement exception handling filter/attribute:

public class ErrorHandlingFilter : ExceptionFilterAttribute
{
    public override void OnException(ExceptionContext context)
    {
        HandleExceptionAsync(context);
        context.ExceptionHandled = true;
    }

    private static void HandleExceptionAsync(ExceptionContext context)
    {
        var exception = context.Exception;

        if (exception is MyNotFoundException)
            SetExceptionResult(context, exception, HttpStatusCode.NotFound);
        else if (exception is MyUnauthorizedException)
            SetExceptionResult(context, exception, HttpStatusCode.Unauthorized);
        else if (exception is MyException)
            SetExceptionResult(context, exception, HttpStatusCode.BadRequest);
        else
            SetExceptionResult(context, exception, HttpStatusCode.InternalServerError);
    }

    private static void SetExceptionResult(
        ExceptionContext context, 
        Exception exception, 
        HttpStatusCode code)
    {
        context.Result = new JsonResult(new ApiResponse(exception))
        {
            StatusCode = (int)code
        };
    }
}

And here is my Startup filter registration:

services.AddMvc(options =>
{
    options.Filters.Add(new AuthorizationFilter());
    options.Filters.Add(new ErrorHandlingFilter());
});

The issue I was having is that when exception occurres in my AuthorizationFilter it's not being handled by ErrorHandlingFilter. I was expecting it to be caught there just like it worked with old ASP.NET Web API.

So how can I catch all application exceptions as well as any exceptions from Action Filters?