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Alexander HEINEMANN (Maastricht University ) “A Residual Bootstrap for Conditional Value-at-Risk”

November 22, 10:30 am - 11:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 10:30 am – 11.30 pm
Date: 22th of November 2018
Place: Room 3001

Alexander HEINEMANN (Maastricht University ) “A Residual Bootstrap for Conditional Value-at-Risk”

Abstract: This paper proposes a fixed-design residual bootstrap method for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap’s consistency is proven under mild assumptions for a general class of volatility models and bootstrap intervals are constructed for the conditional Value-at-Risk to quantify the uncertainty induced by estimation. A large-scale simulation study is conducted revealing that the equal-tailed percentile interval based on the fixed-design residual bootstrap tends to fall short of its nominal value. In contrast, the reversed-tails interval based on the fixed-design residual bootstrap yields accurate coverage. In the simulation study we also consider the recursive-design bootstrap. It turns out that the recursive-design and the fixed-design bootstrap perform equally well in terms of average coverage. Yet in smaller samples the fixed-design scheme leads on average to shorter intervals. An empirical application illustrates the interval estimation using the fixed-design residual bootstrap.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
November 22
Time:
10:30 am - 11:30 pm
Event Categories:
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Venue