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20132023
most citedForecasting VaR and ES using a joint quantile regression and implications in portfolio allocation

34 citations · 92 across the 18 of their papers we have counts for

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Showing 2019Show all

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q-fin.ST2019

Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution

Marco Bottone, Mauro Bernardi, Lea Petrella

Conditional Autoregressive Value-at-Risk and Conditional Autoregressive Expectile have become two popular approaches for direct measurement of market risk. Since their introduction…