Gao, Feng; Song, Fengming - In: Econometric Theory 24 (2008) 05, pp. 1404-1424
Value-at-risk (VaR) and expected shortfall (ES) are now both widely used risk measures. However, users have not paid much attention to the estimation risk issues, especially in the case of heteroskedastic financial time series. The key challenge arises from the fact that the estimated...