A Subsampling Approach to Estimating the Distribution of Diversing Statistics with Application to Assessing Financial Market Risks

UPF, Economics and Business Working Paper No. 599

39 Pages Posted: 24 Oct 2002

See all articles by Patrice Bertail

Patrice Bertail

University Paris-Ouest and CREST-Insee

Christian Haefke

Institute for Advanced Studies (IHS); NYU, Abu Dhabi; IZA Institute of Labor Economics

Dimitris N. Politis

University of California, San Diego (UCSD) - Department of Mathematics

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Date Written: December 2001

Abstract

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary and strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with dependent data and present two applications to assessing financial market risk. Our method performs well in estimating Value at Risk and provides a superior alternative to Hill's estimator in operationalizing Safety First portofolio selection.

Keywords: Resampling methods, extreme value statistics, value at risk, portofolio selection

JEL Classification: C14, C49, G11

Suggested Citation

Bertail, Patrice and Haefke, Christian and Politis, Dimitris and White, Halbert L., A Subsampling Approach to Estimating the Distribution of Diversing Statistics with Application to Assessing Financial Market Risks (December 2001). UPF, Economics and Business Working Paper No. 599, Available at SSRN: https://ssrn.com/abstract=311557 or http://dx.doi.org/10.2139/ssrn.311557

Patrice Bertail

University Paris-Ouest and CREST-Insee ( email )

Bat G, MODAL'X
200, ave de la République
Nanterre, 92000
France
+33 141175403 (Phone)

HOME PAGE: http://www.crest.fr/pageperso/bertail/bertail.htm

Christian Haefke

Institute for Advanced Studies (IHS) ( email )

Josefstädter Straße 39
1080 Vienna
Austria

NYU, Abu Dhabi ( email )

PO Box 129188
Abu Dhabi
United Arab Emirates

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Dimitris Politis

University of California, San Diego (UCSD) - Department of Mathematics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0112
United States
858-534-5861 (Phone)
858-534-5273 (Fax)

Halbert L. White (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

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