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Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C.G. - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10010324719

Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Institute - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the sample …

Persistent link: https://www.econbiz.de/10005504945

Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Instituut - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10011257229

Using a bootstrap method to choose the sample fraction in tail index estimation

Daníelsson, Jón; Haan, Laurens de; Peng, L.; Vries, … - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10010232860

Extreme observations in developed and emerging equity markets

Grau-Carles, Pilar - Society for Computational Economics - SCE - 2006

shape estimates are inefficient unless the threshold is accurately determined. We will apply bootstrap methodology to select …

Persistent link: https://www.econbiz.de/10005706221

Which Extreme Values are Really Extremes?

Olmo, Jose; Gonzalo, Jesus - Econometric Society - 2004

(derived from our threshold estimator) we overcome the bias problems of the usual tail index estimators (Hill or Pickands). The …

Persistent link: https://www.econbiz.de/10005699657

Long-term asset tail risks in developed and emerging markets

Straetmans, Stefan; Candelon, Bertrand - In: Journal of Banking & Finance 37 (2013) 6, pp. 1832-1844

tail parameters of the return distribution we propose a bootstrap-based version of the structural change test. Our …

Persistent link: https://www.econbiz.de/10010662612

Long-term asset tail risks in developed and emerging markets

Straetmans, Stefan; Candelon, Bertrand - In: Journal of banking & finance 37 (2013) 6, pp. 1832-1844

Persistent link: https://www.econbiz.de/10009741911

On portfolio optimization: Imposing the right constraints

Behr, Patrick; Guettler, Andre; Miebs, Felix - In: Journal of Banking & Finance 37 (2013) 4, pp. 1232-1242

We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. Our results show that our constrained minimum-variance portfolio yields...

Persistent link: https://www.econbiz.de/10010741763

Optimizing the smoothed bootstrap

Wang, Suojin - In: Annals of the Institute of Statistical Mathematics 47 (1995) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10005616105