bootstrap to achieve valid inference in a time series setting. The test statistics and the estimators are computed using linear …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

confidence intervals based on inverting bootstrap tests are presented and commented. Monte Carlo results assessing the … have very poor performances, even the percentile-t interval, whereas confidence intervals based on inverting bootstrap …

In the context of long memory, the finite-sample distortion of statistic distributions is so large, that bootstrap … asymptotic confidence interval. In this paper, we propose confidence intervals based on inverting bootstrap tests for the long … percentile-t interval, whereas confidence intervals based on inverting bootstrap tests have quite satisfactory performance. For …

classical bootstrap and the robust bootstrap, in terms of accuracy and robustness. These results show that robustness is a key …

their quantile breakdown point. For the block bootstrap and the sub- sampling, we find a very low quantile breakdown point …, which can ren- der inferences based on standard resampling methods useless already in simple estimation and testing settings …

samples than the confidence regions that can be constructed from the smoothed bootstrap method recently suggested by Horowitz …

distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values …