A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
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- Victor Chernozhukov & Iván Fernández-Val, 2011.
"Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks,"
Review of Economic Studies,
Oxford University Press, vol. 78(2), pages 559-589.
- Victor Chernozhukov & Ivan Fernandez-Val, 2009. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," Papers 0912.5013, arXiv.org.
- Victor Chernozhukov & Ivan Fernandez-Val, 2011. "Inference for extremal conditional quantile models, with an application to market and birthweight risks," CeMMAP working papers CWP40/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
More about this item
KeywordsResampling methods; extreme value statistics; value at risk; portofolio selection;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-10 (All new papers)
- NEP-ECM-2002-02-22 (Econometrics)
- NEP-FMK-2002-02-15 (Financial Markets)
- NEP-IAS-2002-02-15 (Insurance Economics)
- NEP-PKE-2002-02-15 (Post Keynesian Economics)
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