Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …

irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent … data in that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap …

heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo … simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical …