A Residual Bootstrap for Conditional Value-at-Risk
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Cited by:
- Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
- Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
- Francq, Christian & Zakoïan, Jean-Michel, 2020.
"Virtual Historical Simulation for estimating the conditional VaR of large portfolios,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
- Christian Francq & Jean-Michel Zakoian, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers 1909.04661, arXiv.org.
- Francq, Christian & Zakoian, Jean-Michel, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," MPRA Paper 95965, University Library of Munich, Germany.
- Francq, Christian & Zakoïan, Jean-Michel, 2022.
"Testing the existence of moments for GARCH processes,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
- Francq, Christian & Zakoian, Jean-Michel, 2019. "Testing the existence of moments for GARCH processes," MPRA Paper 98892, University Library of Munich, Germany.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Heil, Thomas L.A. & Peter, Franziska J. & Prange, Philipp, 2022. "Measuring 25 years of global equity market co-movement using a time-varying spatial model," Journal of International Money and Finance, Elsevier, vol. 128(C).
- Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-09-17 (Econometrics)
- NEP-RMG-2018-09-17 (Risk Management)
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