We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean and variance and the conditional...

GARCH models are commonly used for describing, estimating and predicting the dynamics of financial returns. Here, we relax the usual parametric distributional assumptions of GARCH models and develop a Bayesian semiparametric approach based on modeling the innovations using the class of scale...