Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution

Marco Bottone (), Lea Petrella and Mauro Bernardi
Additional contact information
Marco Bottone: Banca d’Italia
Mauro Bernardi: University of Padua

Statistical Methods & Applications, 2021, vol. 30, issue 3, No 14, 1079-1107

Abstract: Abstract Conditional Autoregressive Value-at-Risk and Conditional Autoregressive Expectile have become two popular approaches for direct measurement of market risk. Since their introduction several improvements both in the Bayesian and in the classical framework have been proposed to better account for asymmetry and local non-linearity. Here we propose a unified Bayesian Conditional Autoregressive Risk Measures approach by using the Skew Exponential Power distribution. Further, we extend the proposed models using a semiparametric P-Spline approximation answering for a flexible way to consider the presence of non-linearity. To make the statistical inference we adapt the MCMC algorithm proposed in Bernardi et al. (2018) to our case. The effectiveness of the whole approach is demonstrated using real data on daily return of five stock market indices.

Keywords: Bayesian quantile regression; Skew exponential power; Risk measure; Adaptive-MCMC; CAViaR model; CARE model (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Working Paper: Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution (2019)
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DOI: 10.1007/s10260-020-00550-6

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