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Chen, S.X. and Tang, C.Y. (2005) Nonparametric Inference of Value at Risk for Dependent Financial Returns. Journal of Financial Econometrics, 3, 227-255.
https://doi.org/10.1093/jjfinec/nbi012

has been cited by the following article:

• TITLE: Bootstrapping the Expected Shortfall

  AUTHORS: Shuxia Sun, Fuxia Cheng

  KEYWORDS: High Quantile, Risk Measure, Moving Block Bootstrap, Nonparametric Estimation, Strong Mixing Sample Quantile

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.4, March 7, 2018

  ABSTRACT: The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.