A residual bootstrap for conditional value-at-risk

DOI10.1016/j.jeconom.2023.105554arXiv1808.09125OpenAlexW3122430136MaRDI QIDQ6193032

Alexander Heinemann, Stephan Smeekes, Eric Beutner

Publication date: 13 February 2024

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

Full work available at URL: https://arxiv.org/abs/1808.09125

zbMATH Keywords

GARCHvalue-at-riskresidual bootstrap

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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