A Residual Bootstrap for Conditional Expected Shortfall

• Tác giả: Alexander Heinemann, Sean Telg
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.76 Stochastic systems
• Thông tin xuất bản: 2018
• Bộ sưu tập: Metadata
• ID: 162423

Tóm tắt

Comment: arXiv admin note: substantial text overlap with arXiv:1808.09125This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be asymptotically valid under the conditions imposed by Beutner et al. (2018). A simulation study is conducted revealing that the average coverage rates are satisfactory for most settings considered. There is no clear evidence to have a preference for any of the three proposed bootstrap intervals. This contrasts results in Beutner et al. (2018) for the VaR, for which the reversed-tails interval has a superior performance.