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ABSTRACT:
In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with dependent data and present two applications to assessing financial market risk. Our method performs well in estimating Value at Risk and provides a superior alternative to Hill's estimator in operationalizing Safety First portfolio selection.

SUGGESTED CITATION:
Patrice Bertail, Christian Haefke, D N. Politis, and Halbert White, "A Subsampling Approach to Estimating The Distribution of Diverging Statistics with Applications to Assessing Financial Market Risk" (January 1, 2000). Department of Economics, UCSD. Paper 2000-01.
http://repositories.cdlib.org/ucsdecon/2000-01