Subsampling the distribution of diverging statistics with applications to finance

DOI10.1016/S0304-4076(03)00215-XzbMath1282.62188MaRDI QIDQ2439061

Patrice Bertail, Dimitris N. Politis, Halbert White, Christian Haefke

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

resampling methods; portfolio selection; value at risk; extreme value statistics

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F40: Bootstrap, jackknife and other resampling methods

91B84: Economic time series analysis

91G10: Portfolio theory

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