Paper #599

Título:

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

Autores:

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

Data:

Diciembre 2001

Resumen:

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.

Palabras clave:

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

Códigos JEL:

C14, C49, G11

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

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

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