In this paper, the authors present a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions. The model is labeled a new historical bootstrap VaR ...

In this paper, the authors present a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions. The model is labeled a new historical bootstrap VaR ...

Subsampling and block-based bootstrap methods have been used in a wide range of inference problems for time series. To accommodate the dependence, these resampling methods involve a bandwidth ...

Given a general statistic Tn(X,θ) = Tn(X1,...,Xn,θ), a representation is given for the difference between the bootstrapped statistic $T^{*}_{n}$ and a replica of ...