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Bootstrapping the Expected Shortfall
Wright State University, Dayton, OH, USA
Illinois State University, Normal, IL, USA
- 1 Wright State University, Dayton, OH, USA
- 2 Illinois State University, Normal, IL, USA
Theoretical Economics Letters·Volume 08 (2018)·Pages 685–698·Published 6 March 2018·DOI10.4236/tel.2018.84046
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Abstract
The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.
KeywordsHigh QuantileRisk MeasureMoving Block BootstrapNonparametric EstimationStrong Mixing Sample Quantile
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