This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the uncertainty around parameter estimates and volatility...

We consider a multi-asset discrete-time model of a financial market with proportional transaction costs as described by Schachermayer [7]. In this model, the set of all self-financing trading strategies contains for example trading strategies which consist of buying an asset and selling it at...

For order statistics Xi,n,Xj,n,Xk,n with 1[less-than-or-equals, slant]i<j<k[less-than-or-equals, slant]n, and an independent beta distributed random variable C the distributional equation is established for uniform distributions as well as seen to be characteristic.

Many problems in financial engineering involve the estimation of unknown conditional expectations across a time interval. Often Least Squares Monte Carlo techniques are used for the estimation. One method that can be combined with Least Squares Monte Carlo is the "Regress-Later" method. Unlike...

The Solvency II framework challenges insurers to evaluate and manage their embedded balance sheet risks appropriately. However, insurances hold balance sheet items, for which closed-form solutions and market prices are not available. Pure Monte Carlo valuation requires nested simulations, which...

The classical functional delta method (FDM) provides a convenient tool for deriving the asymptotic distribution of statistical functionals from the weak convergence of the respective empirical processes. However, for many interesting functionals depending on the tails of the underlying...

We present two general results that can be used to obtain asymptotic properties for statistical functionals based on linear long-memory sequences. As examples for the first one we consider L- and V-statistics, in particular tail-dependent L-statistics as well as V-statistics with unbounded...