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arXiv · 1808.09125

A Residual Bootstrap for Conditional Value-at-Risk

Eric Beutner·Alexander Heinemann·Stephan Smeekes
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Abstract

A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and intervals are constructed for the conditional Value-at-Risk. A simulation study reveals that the equal-tailed percentile bootstrap interval tends to fall short of its nominal value. In contrast, the reversed-tails bootstrap interval yields accurate coverage. We also compare the theoretically analyzed fixed-design bootstrap with the recursive-design bootstrap. It turns out that the fixed-design bootstrap performs equally well in terms of average coverage, yet leads on average to shorter intervals in smaller samples. An empirical application illustrates the interval estimation.

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Eric Beutner, Alexander Heinemann, Stephan Smeekes. 2018-08-28. A Residual Bootstrap for Conditional Value-at-Risk. https://arxiv.org/abs/1808.09125

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