Code

• MATLAB code for residual bootstrap methods for VaR developed in the paper "A Residual Bootstrap for Conditional Value-at-Risk"

Notes

The codes provided on this page are available freely for non-commercial use only. All files have been tested to ensure their functionality. Any questions on how to use the codes, suggestions for improvements, corrections of errors, etc. are welcome by e-mail. If you use the code in your research, an acknowledgement in the form of a reference to this website and a citation of the relevant papers is appreciated.