dc.contributor.author | Bertail, Patrice | en |
dc.contributor.author | Haefke, C. | en |
dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.contributor.author | White, H. | en |
dc.creator | Bertail, Patrice | en |
dc.creator | Haefke, C. | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.creator | White, H. | en |
dc.date.accessioned | 2019-12-02T10:33:58Z | |
dc.date.available | 2019-12-02T10:33:58Z | |
dc.date.issued | 2004 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/56518 | |
dc.description.abstract | In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion of 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 portfolio selection. © 2003 Elsevier B.V. All rights reserved. | en |
dc.source | Journal of Econometrics | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-1842686756&doi=10.1016%2fS0304-4076%2803%2900215-X&partnerID=40&md5=ae1f1bbc2d8b7d6f3b9f959e49584812 | |
dc.subject | Statistics | en |
dc.subject | Risk assessment | en |
dc.subject | Sampling | en |
dc.subject | Finance | en |
dc.subject | Estimation | en |
dc.subject | Set theory | en |
dc.subject | Asymptotic stability | en |
dc.subject | Theorem proving | en |
dc.subject | Convergence of numerical methods | en |
dc.subject | Extreme value statistics | en |
dc.subject | Portfolio selection | en |
dc.subject | Resampling methods | en |
dc.subject | Value at Risk | en |
dc.title | Subsampling the distribution of diverging statistics with applications to finance | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/S0304-4076(03)00215-X | |
dc.description.volume | 120 | |
dc.description.issue | 2 | |
dc.description.startingpage | 295 | |
dc.description.endingpage | 326 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :13</p> | en |
dc.source.abbreviation | J Econom | en |
dc.contributor.orcid | Bertail, Patrice [0000-0002-6011-3432] | |
dc.gnosis.orcid | 0000-0002-6011-3432 | |