Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance

41 Pages Posted: 4 Nov 2011

See all articles by Oliver B. Linton

Oliver B. Linton

University of Cambridge

Zhijie Xiao

Boston College - Department of Finance and Department of Economics

Date Written: July 28, 2011

Abstract

We study estimation and inference of Expected Shortfall (ES) for time series with Infinite variance. The rate of convergence is determined by the tail thickness parameter and the limiting distribution is in the stable class with parameters depending on the tail thickness parameter of the time series and on the dependence structure, which makes inference complicated. A subsampling procedure is proposed to carry out statistical inference. We also analyze a nonparametric estimator of conditional expected shortfall.

Suggested Citation

Linton, Oliver B. and Xiao, Zhijie, Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance (July 28, 2011). Available at SSRN: https://ssrn.com/abstract=1954618 or http://dx.doi.org/10.2139/ssrn.1954618

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Zhijie Xiao

Boston College - Department of Finance and Department of Economics ( email )

United States

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