We propose a novel spatial panel quantile regression method to investigate the impact of crude oil and carbon prices and neighboring fuel prices on regional retail fuel prices in the EU markets. This approach captures the changing price shock propagation and cross-market dependency of retail...

We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach

The traditional fund-by-fund performance evaluation method suffers from various econometric problems such as multiple hypothesis testing, time-varying coefficients, cross-sectional dependence, etc. To overcome these problems, we tailor three high-dimensional cross-sectional tests to empirically...