A Residual Bootstrap for Conditional Value-at-Risk

• Tác giả: Eric Beutner, Alexander Heinemann, Stephan Smeekes
• Ngôn ngữ: eng
• Ký hiệu phân loại: 328.767 The legislative process
• Thông tin xuất bản: 2018
• Bộ sưu tập: Báo, Tạp chí
• ID: 162168

Tóm tắt

A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and intervals are constructed for the conditional Value-at-Risk. A simulation study reveals that the equal-tailed percentile bootstrap interval tends to fall short of its nominal value. In contrast, the reversed-tails bootstrap interval yields accurate coverage. We also compare the theoretically analyzed fixed-design bootstrap with the recursive-design bootstrap. It turns out that the fixed-design bootstrap performs equally well in terms of average coverage, yet leads on average to shorter intervals in smaller samples. An empirical application illustrates the interval estimation.