Subsampling the distribution of diverging statistics with applications to % nance

@inproceedings{Bertaila2004SubsamplingTD,
  title={Subsampling the distribution of diverging statistics with applications to % nance},
  author={Patrice Bertaila and Christian Haefkeb and Dimitris N. Politisc and Halbert Whited},
  year={2004}
}
  • Patrice Bertaila, Christian Haefkeb, +1 author Halbert Whited
  • Published 2004
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 of how to estimate extreme order statistics with dependent data and present two applications to assessing %nancial market risk. Our method performs well in estimating Value at Risk and provides a superior alternative to Hill’s estimator in… CONTINUE READING

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