Alexander Heinemann, Sean Telg
arXiv 26 Nov 2018 · Econometrics · 3 citations (OpenAlex)
arXiv:1811.11557 · PDF · DOI · OpenAlex · Extracted main text
This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be asymptotically valid under the conditions imposed by Beutner et al. (2018). A simulation study is conducted revealing that the average coverage rates are satisfactory for most settings considered. There is no clear evidence to have a preference for any of the three proposed bootstrap intervals. This contrasts results in Beutner et al. (2018) for the VaR, for which the reversed-tails interval has a superior performance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Francq, C. and J.M. Zakoän (2015) Risk-parameter estimation in volatility models | 1.000 | 16 | 5 | 100% |
| 2 | Gao, F. and F. Song (2008) Estimation risk in GARCH VaR and ES estimates | 1.000 | 6 | 3 | 100% |
| 3 | Beutner, E., A. Heinemann, and S. Smeekes (2018) A residual bootstrap for conditional value-at-risk | 0.809 | 51 | 7 | 53% |
| 4 | Chen, S.X (2008) Nonparametric estimation of expected shortfall | 0.644 | 4 | 2 | 50% |
| 5 | Beutner, E., A. Heinemann, and S. Smeekes (2017) A justification of conditional confidence intervals | 0.585 | 3 | 1 | 100% |
| 6 | Shimizu, K (2009) Bootstrapping Stationary ARMA–GARCH Models | 0.585 | 3 | 1 | 100% |
| 7 | Acerbi, C. and D. Tasche (2002) Expected shortfall: A natural coherent alternative to value at risk | 0.511 | 2 | 1 | 100% |
| 8 | Cavaliere, G., R.S. Pedersen, and A. Rahbek (2018) The fixed volatility bootstrap for a class of ARCH($q$) models | 0.511 | 2 | 1 | 100% |
| 9 | Chang, Y. and J.Y. Park (2003) A sieve bootstrap for the test of a unit root | 0.511 | 2 | 1 | 100% |
| 10 | Acerbi, C. and D. Tasche (2002) On the coherence of expected shortfall | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 52 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Journal of Econometrics | 0.405 | 1 | 1 |
| 2 | A Bootstrap Test for the Existence of Moments for GARCH Processes | 0.405 | 1 | 1 |