A Residual Bootstrap for Conditional Expected Shortfall
Econometrics
2018-11-29 v1
Abstract
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.
Cite
@article{arxiv.1811.11557,
title = {A Residual Bootstrap for Conditional Expected Shortfall},
author = {Alexander Heinemann and Sean Telg},
journal= {arXiv preprint arXiv:1811.11557},
year = {2018}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1808.09125