A Residual Bootstrap for Conditional Value-at-Risk
Abstract
A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and intervals are constructed for the conditional Value-at-Risk. A simulation study reveals that the equal-tailed percentile bootstrap interval tends to fall short of its nominal value. In contrast, the reversed-tails bootstrap interval yields accurate coverage. We also compare the theoretically analyzed fixed-design bootstrap with the recursive-design bootstrap. It turns out that the fixed-design bootstrap performs equally well in terms of average coverage, yet leads on average to shorter intervals in smaller samples. An empirical application illustrates the interval estimation.
Cite
@article{arxiv.1808.09125,
title = {A Residual Bootstrap for Conditional Value-at-Risk},
author = {Eric Beutner and Alexander Heinemann and Stephan Smeekes},
journal= {arXiv preprint arXiv:1808.09125},
year = {2023}
}