Robust inference of risks of large portfolios

DOI10.1016/J.JECONOM.2016.05.008zbMATH Open1443.62149arXiv1501.02382OpenAlexW3124623451WikidataQ39210750 ScholiaQ39210750MaRDI QIDQ308377FDOQ308377

Authors: Byron Vickers, Han Liu, Jianqing Fan, Fang Han 

Publication date: 6 September 2016

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

Abstract: We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extension of the H-CLUB method (Fan et al., 2015). Such an extension allows us to handle possibly misspecified models and heavy-tailed data. Under mixing conditions, we analyze the proposed approach and demonstrate its advantage over the H-CLUB. We further provide thorough numerical results to back up the developed theory. We also apply the proposed method to analyze a stock market dataset.

Full work available at URL: https://arxiv.org/abs/1501.02382

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zbMATH Keywords

high dimensionalityrisk managementrobust inferencequantile statisticsrank statistics

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (4)

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