Showing 1 - 10 of 12,957
The purpose of this paper is to use the bootstrap resampling technique to calculate confidence intervals for efficiency measures and Malmquist productivity indices. The efficiency and productivity measures are obtained from non-parametric linear programming models using primal production data....
Persistent link: https://www.econbiz.de/10014115462
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially...
Persistent link: https://www.econbiz.de/10014119623
This paper presents and applies different approaches to estimate returns to scale in multiple-input multiple-output technologies. Scale efficiency gives quantitative information of scale characteristics. A primal based approach to estimate the scale elasticity is proposed as an alternative to...
Persistent link: https://www.econbiz.de/10014106291
The 2008 financial crisis has spurred investors to wonder about adding tail risk hedges to their portfolios. However, the cost of these hedges can often be a deterrent. As a consequence, many financial institutions have tried to develop cost-effective products for investors who wished to protect...
Persistent link: https://www.econbiz.de/10013000635
Contextual factors usually assume an important role in determining firms' productive efficiencies. Nevertheless, identifying them in a regression framework might be complicated. The problem arises from the efficiencies being correlated with each other when estimated by Data Envelopment Analysis...
Persistent link: https://www.econbiz.de/10013028758
We study inference for the local innovations of It\^o semimartingales. Specifically, we construct a resampling procedure for the empirical CDF of high-frequency innovations that have been standardized using a nonparametric estimate of its stochastic scale (volatility) and truncated to rid the...
Persistent link: https://www.econbiz.de/10012907894
Persistent link: https://www.econbiz.de/10013492694
Financial advisors commonly recommend that the investment horizon should be rather long in order to benefit from the "time diversification". In this case, in order to choose the optimal portfolio, it is necessary to estimate the risk and reward of several alternative portfolios over a long-run...
Persistent link: https://www.econbiz.de/10013114943
It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving...
Persistent link: https://www.econbiz.de/10013117934
I propose a nonparametric iid bootstrap procedure for the empirical likelihood, the exponential tilting, and the exponentially tilted empirical likelihood estimators that achieves sharp asymptotic refinements for t tests and confidence intervals based on such estimators. Furthermore, the...
Persistent link: https://www.econbiz.de/10013059149