Subsampling the distribution of diverging statistics with applications to finance

Journal of Econometrics

Volumn 120, Issue 2, 2004, Pages 295-326

  Bertail, Patrice ^a   Haefke, Christian ^b   Politis, Dimitris N ^c   White, Halbert ^c  

^a CREST   (France)

^b DEPARTMENT OF ECONOMICS AND BUSINESS   (Spain)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Extreme value statistics; Portfolio selection; Resampling methods; Value at Risk

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; ESTIMATION; FINANCE; RISK ASSESSMENT; SET THEORY; STATISTICS; THEOREM PROVING;

EXTREME VALUE STATISTICS; PORTFOLIO SELECTION; RESAMPLING METHODS; VALUE AT RISK;

SAMPLING;

EID: 1842686756     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00215-X     Document Type: Article

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