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A Residual Bootstrap for Conditional Expected Shortfall

Alexander Heinemann and Sean Telg ()

Papers from arXiv.org

Abstract: This 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.

New Economics Papers: this item is included in nep-ecm and nep-rmg
Date: 2018-11
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