A Subsampling Approach to Estimating The Distribution of Diverging Statistics with Applications to Assessing Financial Market Risk
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- Patrice Bertail & Christian Haefke & Dimitris N, Politis & Halbert White, 2002. "A Subsampling Approach to Estimating the Distribution of Diverging Statistics with Applications to Assessing Financial Markets Risks," Working Papers 2002-40, Center for Research in Economics and Statistics.
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Keywordsresampling methods; extreme value statistics; value at risk; portfolio selection;
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