A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
Christian Haefke (),
Dimitris N. Politis and
Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
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 (search for similar items in EconPapers)
JEL-codes: C14 C49 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-fmk, nep-ias and nep-pke
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:599
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