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La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France

Kessab, Ammar - HAL - 2009

In a crisis of public finances, France bases all its hopes on the "evaluation of performance" to moderate the effects of a complex crisis. Under the banner of "modernization of the State", a new "financial constitution" called the Organic Law on finance laws (LOLF) became the main lever of...

Persistent link: https://www.econbiz.de/10008791805

Assessing Hedge Fund Performance: Does the Choice of Measures Matter?

Nguyen-Thi-Thanh, Huyen - HAL - 2007

In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample...

Persistent link: https://www.econbiz.de/10008793397

The necessity to correct hedge fund returns: empirical evidence and correction method

Gallais-Hamonno, Georges; Nguyen-Thi-Thanh, Huyen - HAL - 2007

We study two principal mechanisms suggested in the literature to correct the serial correlationin hedge fund returns and the impact of this correction on financial characteristics of their returnsas well as on their risk level and on their performances. The methods of Geltner (1993), its...

Persistent link: https://www.econbiz.de/10008793728

A non-parametric method to nowcast the Euro Area IPI

Ferrara, Laurent; Raffinot, Thomas - HAL - 2008

by the European Commission. Moreover, we consider the methodology based on bootstrap replications to estimate the …

Persistent link: https://www.econbiz.de/10010750609

Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue

Flachaire, Emmanuel - HAL - 2005

. Les méthodes du bootstrap permettent d'obtenir une approximation de la vraie loi de la statistique en général plus précise … analytiquement. Dans cet article, nous présentons une méthodologie générale du bootstrap dans le contexte des modèles de régression. …

Persistent link: https://www.econbiz.de/10010750662

A better way to bootstrap pairs

Flachaire, Emmanuel - HAL - 1999

In this paper we are interested in heteroskedastic regression models, for which an appropriate bootstrap method is …

Persistent link: https://www.econbiz.de/10008791699

Les méthodes du bootstrap dans les modèles de régression

Flachaire, Emmanuel - HAL - 2001

Persistent link: https://www.econbiz.de/10008791731

Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets

Caillault, Cyril; Guegan, Dominique - HAL - 2005

obtained with a bootstrap method. We call these estimators "Naïve estimators" as they represent a discretization of Joe …

Persistent link: https://www.econbiz.de/10008792095

Improving the reliability of bootstrap tests with the fast double bootstrap

Davidson, Russell; Mackinnon, James - HAL - 2006

Two procedures are proposed for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments … without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per … replication) as estimating rejection probabilities for asymptotic tests. Then a new procedure is proposed for computing bootstrap …

Persistent link: https://www.econbiz.de/10008793559

A PARAMETRIC BOOTSTRAP USING THE FIRST FOURMOMENTS OF THE RESIDUALS

Treyens, Pierre-Eric - HAL - 2007

, within the framework of the bootstrap, we thought that the error in rejection probability (ERP) had the same rate of … convergence with the parametric bootstrap or the nonparametric bootstrap. For linear data generating processes (DGP) we show in … are nonnull. Indeed, we show that the ERP is the same for the asymptotic test as for the classical parametric bootstrap …

Persistent link: https://www.econbiz.de/10008793826