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A Subsampling Approach to Estimating The Distribution of Diverging Statistics with Applications to Assessing Financial Market Risk

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Author Info
Patrice Bertail (ENSAE, France)
Christian Haefke (Institute for Advanced Studies, Vienna)
D Politis
Halbert White (University of California, San Diego)

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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 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.

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File URL: http://repositories.cdlib.org/cgi/viewcontent.cgi?article=1143&context=ucsdecon
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Publisher Info
Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 2000-01.

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Date of creation: 01 Jan 2000
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Handle: RePEc:cdl:ucsdec:2000-01

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Related research
Keywords: resampling methods; extreme value statistics; value at risk; portfolio selection;

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References listed on IDEAS
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  1. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 39-69. [Downloadable!]
  2. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 334-362.
  3. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May. [Downloadable!] (restricted)
  4. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February. [Downloadable!] (restricted)
  5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  6. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May. [Downloadable!] (restricted)
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