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Robust subsampling

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of econometrics, 2012, vol. 167, no. 1, p. 197-210

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even when they are applied to robust statistics. This instability arises also for data driven block size selection procedures minimizing ...

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Robust value at risk prediction

Mancini, Loriano ; Trojani, Fabio

In: Journal of financial econometrics, 2011, vol. 9, no. 2, p. 281-313

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that controls bootstrap instability due to outlying observations. A Monte Carlo simulation shows that our robust method provides more accurate VaR...

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