Search Results - subject:"Bootstrap Simulation"

Can the Fiscal Theory of the price level explain UK inflation in the 1970s?

Fan, Jingwen; Minford, A. Patrick L. - Economics Section, Cardiff Business School - 2009

We investigate whether the Fiscal Theory of the Price Level can explain UK inflation in the 1970s. We find that fiscal policy was non-Ricardian and money growth entirely endogenous in this period. The implied model of inflation is tested in two ways: for its trend using cointegration analysis...

Persistent link: https://www.econbiz.de/10008549967

Taylor Rule or Optimal Timeless Policy? Reconsidering the Fed's behaviour since 1982

Minford, A. Patrick L.; Ou, Zhirong - Economics Section, Cardiff Business School - 2009

We calibrate a standard New Keynesian model with three alternative representations of monetary policy - an optimal timeless rule, a Taylor rule and another with interest rate smoothing - with the aim of testing which if any can match the data according to the method of indirect inference. We...

Persistent link: https://www.econbiz.de/10008494094

Sell in May and Go Away: Still good advice for investors?

Dichtl, Hubert; Drobetz, Wolfgang - In: International Review of Financial Analysis 38 (2015) C, pp. 29-43

way, and to avoid possible data-snooping biases, we implement a bootstrap simulation approach. We find that the Halloween …

Persistent link: https://www.econbiz.de/10011264501

Sell in may and go away : still good advice for investors?

Dichtl, Hubert; Drobetz, Wolfgang - In: International review of financial analysis 38 (2015), pp. 29-43

Persistent link: https://www.econbiz.de/10011337635

Simulation Evidence on Granger Causality in Presence of a Confounding Variable

ASGHAR, Zahid - In: International Journal of Applied Econometrics and … 5 (2008) 2

model is known then these causality tests work fine and for this we have carried out bootstrap simulation. …

Persistent link: https://www.econbiz.de/10004999282

Consistent nonparametric tests for Lorenz dominance

Barrett, Garry F.; Donald, Stephen G.; Bhattacharya, Debopam - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010380483

Performance evaluation of portfolio insurance strategies using stochastic dominance criteria

ANNAERT, J.; OSSELAER, S. VAN; VERSTRAETE, B. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2007

performance evaluation of the stop-loss, synthetic put and constant proportion portfolio insurance techniques based on a block-bootstrap … simulation. Apart from more traditional performance measures, we consider the Value-at-risk and Expected Shortfall of the …

Persistent link: https://www.econbiz.de/10004982958

Risk‐efficient portfolio crop choice with amended water and irrigation policies in northern Germany

Buchholz, Matthias; Musshoff, Oliver - In: Agricultural Finance Review 73 (2013) 2, pp. 373-388

Purpose – Increasing environmental concerns have placed the need for an enhanced water resources management on the policy agenda. In this context, a restrictive regulation of water withdrawals for irrigation has gained in importance. The purpose of this paper is to investigate how a reduction...

Persistent link: https://www.econbiz.de/10014667637

Risk-efficient portfolio crop choice with amended water and irrigation policies in northern Germany

Buchholz, Matthias; Musshoff, Oliver - In: Agricultural Finance Review 73 (2013) April, pp. 373-388

Persistent link: https://www.econbiz.de/10010814724

A simulation approach for estimating value at risk in transportation infrastructure investment decisions

Mishra, Sabyasachee; Khasnabis, Snehamay; Dhingra, … - In: Research in Transportation Economics 38 (2013) 1, pp. 128-138

in a PPP project. Bootstrap simulation is used to generate the risk profile savings in vehicle operating cost, and in …

Persistent link: https://www.econbiz.de/10010868626