3 citations · 8 across the 3 of their papers we have counts for
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econ.EM2018★ 3 cited
A Residual Bootstrap for Conditional Expected Shortfall
Alexander Heinemann, Sean Telg
This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Expected Shortfall. For a genera…
econ.EM2018
A Residual Bootstrap for Conditional Value-at-Risk
Eric Beutner, Alexander Heinemann, Stephan Smeekes
A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap's consiste…