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ArticleSubsampling the distribution of diverging statistics with applications to finance

Patrice Bertail2003

Article2003

Subsampling the distribution of diverging statistics with applications to finance

Patrice Bertail · Christian Haefke · Dimitris N. Politis · Halbert White

33 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1952Portfolio Selection 1987The Pricing of Options on Assets with Stochastic Volatilities 1952Safety First and the Holding of Assets 1987The Pricing of Options on Assets with Stochastic Volatilities 2001Value at Risk 1989A Moment Estimator for the Index of an Extreme-Value Distribution 1984Extremes and related properties of random sequences and processes

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2013Conditional VAR and Expected Shortfall: A New Functional Approach

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Year2003

Typearticle

Published2003-08-12

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations33

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(03)00215-x

openalex_workW2001871981

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