Abstract
In this paper, we show that the difference between the empirical estimator and the Conditional value-at-risk can be written as a simple partial sum + a residual term. Starting from this decomposition, we prove a central limit theorem and some almost sure results for the empirical estimator, for a large class of stationary sequences. We also construct a confidence interval with asymptotic level , and we study its coverage level through two different sets of simulation.
Disclosure statement
No potential conflict of interest was reported by the author(s).