1 citations · 1 across the 1 of their papers we have counts for
2 papers
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…
stat.ME2016★ 1 cited
Bayesian Robust Quantile Regression
Mauro Bernardi, Marco Bottone, Lea Petrella
Traditional Bayesian quantile regression relies on the Asymmetric Laplace distribution (ALD) mainly because of its satisfactory empirical and theoretical performances. However, the…