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Using a bootstrap method to choose the sample fraction in tail index estimation
Danielsson, J.; de Haan, de Haan, L.F.M.; Peng, Peng, L.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2000
a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …
Persistent link: https://www.econbiz.de/10010837770
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Using a bootstrap method to choose the sample fraction in tail index estimation
Danielsson, J.; Haan, L.F.M. de; Peng, L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2000
a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …
Persistent link: https://www.econbiz.de/10008484074
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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
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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
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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
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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
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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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A bootstrap-based method to achieve optimality on estimating the extreme-value index
Draisma, Draisma, G.; de Haan, de Haan, L.F.M.; Peng, … - Faculteit der Economische Wetenschappen, Erasmus … - 2000
choose the number of order statistics involved in an optimal way, balancing variance and bias components. Recently this has …
Persistent link: https://www.econbiz.de/10010837846
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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