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  • Search: subject:"factor benchmark models"
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Year of publication
Subject
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Performance measurement 5 Benchmarking 4 Bootstrap approach 4 Bootstrap-Verfahren 4 Capital income 4 Investment Fund 4 Investmentfonds 4 Kapitaleinkommen 4 Performance-Messung 4 Portfolio selection 4 Portfolio-Management 4 Theorie 4 Theory 4 Bootstrap methods 3 Factor benchmark models 3 Mutual funds 3 Open-ended investment companies 3 Panel methods 3 Unit trusts 3 Estimation 2 Panel 2 Panel study 2 Schätzung 2 bootstrap methods 2 factor benchmark models 2 mutual funds 2 open ended investment companies 2 performance measurement 2 stochastic dominance 2 unit trusts 2
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Online availability
All
Free 2 Undetermined 2
Type of publication
All
Article 3 Book / Working Paper 2
Type of publication (narrower categories)
All
Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 4 Undetermined 1
Author
All
Blake, David 5 Caulfield, Tristan 5 Ioannidis, Christos 5 Tonks, Ian 5
Published in...
All
Discussion paper / The Pensions Institute, Cass Business School, City University 2 Journal of Econometrics 1 Journal of econometrics 1 Journal of financial and quantitative analysis : JFQA 1
Source
All
ECONIS (ZBW) 4 RePEc 1
Showing 1 - 5 of 5
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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
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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
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Cover Image
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
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Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - In: Journal of Econometrics 183 (2014) 2, pp. 202-210
Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for...
Persistent link: https://www.econbiz.de/10011077614
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Cover Image
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - In: Journal of econometrics 183 (2014) 2, pp. 202-210
Persistent link: https://www.econbiz.de/10010506059
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