Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity
Using bootstrap method, we have constructed nonparametric prediction intervals for Conditional Value-at-Risk for returns that admit a heteroscedastic location-scale model where the location and scale functions are smooth, and the function of the error term is unknown and is assumed to be uncorrelate...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2019/7691841 |
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| _version_ | 1832558304012795904 |
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| author | Emmanuel Torsen Lema Logamou Seknewna |
| author_facet | Emmanuel Torsen Lema Logamou Seknewna |
| author_sort | Emmanuel Torsen |
| collection | DOAJ |
| description | Using bootstrap method, we have constructed nonparametric prediction intervals for Conditional Value-at-Risk for returns that admit a heteroscedastic location-scale model where the location and scale functions are smooth, and the function of the error term is unknown and is assumed to be uncorrelated to the independent variable. The prediction interval performs well for large sample sizes and is relatively small, which is consistent with what is obtainable in the literature. |
| format | Article |
| id | doaj-art-3383d6bb43784f48b67d7ccba883cef1 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-3383d6bb43784f48b67d7ccba883cef12025-02-03T01:32:46ZengWileyJournal of Probability and Statistics1687-952X1687-95382019-01-01201910.1155/2019/76918417691841Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with HeteroscedasticityEmmanuel Torsen0Lema Logamou Seknewna1Department of Mathematics, Pan African University, Institute of Basic Sciences, Technology, and Innovation, KenyaDepartment of Mathematics, Pan African University, Institute of Basic Sciences, Technology, and Innovation, KenyaUsing bootstrap method, we have constructed nonparametric prediction intervals for Conditional Value-at-Risk for returns that admit a heteroscedastic location-scale model where the location and scale functions are smooth, and the function of the error term is unknown and is assumed to be uncorrelated to the independent variable. The prediction interval performs well for large sample sizes and is relatively small, which is consistent with what is obtainable in the literature.http://dx.doi.org/10.1155/2019/7691841 |
| spellingShingle | Emmanuel Torsen Lema Logamou Seknewna Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity Journal of Probability and Statistics |
| title | Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity |
| title_full | Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity |
| title_fullStr | Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity |
| title_full_unstemmed | Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity |
| title_short | Bootstrapping Nonparametric Prediction Intervals for Conditional Value-at-Risk with Heteroscedasticity |
| title_sort | bootstrapping nonparametric prediction intervals for conditional value at risk with heteroscedasticity |
| url | http://dx.doi.org/10.1155/2019/7691841 |
| work_keys_str_mv | AT emmanueltorsen bootstrappingnonparametricpredictionintervalsforconditionalvalueatriskwithheteroscedasticity AT lemalogamouseknewna bootstrappingnonparametricpredictionintervalsforconditionalvalueatriskwithheteroscedasticity |