A Residual Bootstrap for Conditional Expected Shortfall

Alexander Heinemann; Sean Telg

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arXiv · 1811.11557

A Residual Bootstrap for Conditional Expected Shortfall

Alexander Heinemann·Sean Telg

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Abstract

This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be asymptotically valid under the conditions imposed by Beutner et al. (2018). A simulation study is conducted revealing that the average coverage rates are satisfactory for most settings considered. There is no clear evidence to have a preference for any of the three proposed bootstrap intervals. This contrasts results in Beutner et al. (2018) for the VaR, for which the reversed-tails interval has a superior performance.

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BibTeX RIS

Alexander Heinemann, Sean Telg. 2018-11-26. A Residual Bootstrap for Conditional Expected Shortfall. https://arxiv.org/abs/1811.11557

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