Department of Economics and Business - Universitat Pompeu Fabra

Title:: A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
Authors:: Patrice Bertail, Christian Haefke, Dimitris N. Politis and Halbert White
Date:: December 2001
Abstract:: 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.
Keywords:: Resampling methods, extreme value statistics, value at risk, portofolio selection
JEL codes:: C14, C49, G11
Area of Research:: Statistics, Econometrics and Quantitative Methods
Published in:: Journal of Econometrics, 120, (2004), pp. 295-326

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