Paper #599

Títol:

A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

Autors:

Patrice Bertail, Christian Haefke, Dimitris N. Politis i Halbert White

Data:

Desembre 2001

Resum:

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with dependent data and present two applications to assessing financial market risk. Our method performs well in estimating Value at Risk and provides a superior alternative to Hill's estimator in operationalizing Safety First portofolio selection.

Paraules clau:

Resampling methods, extreme value statistics, value at risk, portofolio selection

Codis JEL:

C14, C49, G11

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of Econometrics, 120, (2004), pp. 295-326

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