Search Results - subject:"Bootstrap Methods"

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Measuring expected shortfall under semi-parametric expected shortfall approaches : a case study of selected Southern European/Mediterranean countries

Radivojević, Nikola; Bojić, Borislav; Lakićević, Marija - In: The journal of operational risk 14 (2019) 4, pp. 43-76

Persistent link: https://www.econbiz.de/10012157429

Improved inference in the evaluation of mutual fund performance using panel bootstrap methods

Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - 2014

Persistent link: https://www.econbiz.de/10010362860

New evidence on mutual fund performance : a comparison of alternative bootstrap methods

Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - 2014

Persistent link: https://www.econbiz.de/10010362861

A COMPARISON OF BOOTSTRAP AND MONTE CARLO APPROACHES TO TESTING FOR SYMMETRY IN THE HOUCK''S MODEL

DE-GRAFT, ACQUAH HENRY - In: Russian Journal of Agricultural and Socio-Economic Sciences 17 (2013) 3, pp. 3-6

The power of the Houck's model of asymmetry is examined via bootstrap and Monte Carlo techniques. The results of bootstrap and Monte Carlo simulations indicate that the power of the Houck's test for asymmetry depends on sample size, level of asymmetry and the amount of noise in the data...

Persistent link: https://www.econbiz.de/10011222430

A BOOTSTRAP APPROACH TO TESTING FOR SYMMETRY IN THE GRANGER AND LEE ASYMMETRIC ERROR CORRECTION MODEL

DE-GRAFT, ACQUAH HENRY - In: Russian Journal of Agricultural and Socio-Economic Sciences 11 (2012) 3, pp. 33-36

The power of the Granger and Lee (1989) model of asymmetry is examined via bootstrap simulation. The results of the bootstrap simulation indicate that the Granger and Lee model has low power in rejecting the hypothesis of symmetric adjustments. The power of the test depends on the bootstrap...

Persistent link: https://www.econbiz.de/10011222474

New evidence on mutual fund performance : a comparison of alternative bootstrap methods

Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 3, pp. 1279-1299

Persistent link: https://www.econbiz.de/10011743963

Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems

Lach, Łukasz - Volkswirtschaftliche Fakultät, … - 2010

theory may often cause significant over-rejection. Application of bootstrap methods usually leads to improvement of size …

Persistent link: https://www.econbiz.de/10011260698

Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems

Lach, Lukasz - In: Managing Global Transitions 8 (2010) 2, pp. 167-186

asymptotic distribution theory may often cause significant over-rejection. Application of bootstrap methods usually leads to …

Persistent link: https://www.econbiz.de/10008455896

Optimal Dimension of Transition Probability Matrices for Markov Chain Bootstrapping

Cerqueti, Roy; Falbo, Paolo; Pelizzari, Cristian - Dipartimento di Istituzioni Economiche e Finanziarie, … - 2009

<font size="1">While the large portion of the literature on Markov chain (possibly of orderhigher than one) bootstrap … methods has focused on the correct estimation ofthe transition probabilities, little or no attention has been devoted to …

Persistent link: https://www.econbiz.de/10005396494

More Reliable Inference for Segregation Indices

Allen, Rebecca; Burgess, Simon; Windmeijer, Frank - Centre for Market and Public Organisation (CMPO), … - 2009

that use of bootstrap methods can improve the size and power properties of test procedures considerably. We illustrate …

Persistent link: https://www.econbiz.de/10005577250