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 …

how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these … region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with …

estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …

This paper shows how to bootstrap hypothesis tests in the context of the Parks's (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)'s top competitor. The FGLS(Parks) estimator … datasets. Our approach provides a superior alternative to existing estimation options by allowing researchers to retain the …

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …

attractive attracted under risk conditions. …

with small length. Utilizing our results, we introduce a Monte Carlo-based method of estimation for the tail exponent. Our …