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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
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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
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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
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Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates
Chen, Qian; Giles, David - In: Statistical Papers 53 (2012) 2, pp. 409-426
Persistent link: https://www.econbiz.de/10010848048
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Measuring Process Performance Based on Expected Loss with Asymmetric Tolerances
Pearn, W. L.; Chang, Y. C.; Wu, Chien-Wei - In: Journal of Applied Statistics 33 (2006) 10, pp. 1105-1120
omitted] , [image omitted] , and [image omitted] . We also analyzed the bias and the mean squared error in each case. The new …
Persistent link: https://www.econbiz.de/10009226399
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Maximum integrated likelihood estimator of the interest parameter when the nuisance parameter is location or scale
Zaigraev, A.; Podraza-Karakulska, A. - In: Statistics & Probability Letters 88 (2014) C, pp. 99-106
maximization of the integrated likelihood function. The estimators are compared, asymptotically, with respect to the bias and with …
Persistent link: https://www.econbiz.de/10010752953
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Imputation by power transformation
Singh, Sarjinder; Deo, Balbinder - In: Statistical Papers 44 (2003) 4, pp. 555-579
Persistent link: https://www.econbiz.de/10008533847
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A family of shrinkage estimators for Weibull shape parameter in censored sampling
Singh, Housila; Saxena, Sharad; Joshi, Harshada - In: Statistical Papers 49 (2008) 3, pp. 513-529
Persistent link: https://www.econbiz.de/10008533892
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On constructing almost unbiased estimators of finite population mean using transformed auxiliary variable
Chang, Horng-Jinh; Huang, Kuo-Chung - In: Statistical Papers 42 (2001) 4, pp. 505-515
Persistent link: https://www.econbiz.de/10005167212
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Dimension Reduction of Microarray Data in the Presence of a Censored Survival Response: A Simulation Study
Nguyen, Tuan; Rojo, Javier - In: Statistical Applications in Genetics and Molecular Biology 8 (2009) 1, pp. 4-4
coefficients of the covariates, and in terms of the bias of the estimated survival function. It turns out that RMPLS outperforms … all other methods in terms of the mean squared error and the bias of the survival function in the presence of outliers in … outperform all other methods considered in this study in terms of mean squared error and bias of the estimated survival function. …
Persistent link: https://www.econbiz.de/10005459172