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Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution |
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| Authors: | Bottone Marco Petrella Lea Bernardi Mauro |
| Institution: | 1.DG for Economics, Statistics and Research, Banca d’Italia, Via Nazionale 91, 00184, Rome, Italy ;2.Department of Methods and Models for Economics, Territory and Finance, Sapienza University of Rome, Rome, Italy ;3.Department of Statistical Sciences, University of Padua, Padua, Italy ; |
| Abstract: | Statistical Methods & Applications - Conditional Autoregressive Value-at-Risk and Conditional Autoregressive Expectile have become two popular approaches for direct measurement of market risk.... |
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