Subsampling the distribution of diverging statistics with applications to finance

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

Research output: Contribution to journalArticle

Abstract

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion of 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 portfolio selection.

Original languageEnglish (US)
Pages (from-to)295-326
Number of pages32
JournalJournal of Econometrics
Volume120
Issue number2
DOIs
StatePublished - Jun 2004

Keywords

  • Extreme value statistics
  • Portfolio selection
  • Resampling methods
  • Value at Risk

ASJC Scopus subject areas

  • Economics and Econometrics

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