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Tukey's transformational ladder for portfolio management
Ernst, Philip A.; Thompson, James R.; Miao, Yinsen - In: Financial markets and portfolio management 31 (2017) 3, pp. 317-355
Persistent link: https://www.econbiz.de/10011951766
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Empirical Likelihood Block Bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10011940770
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10010280012
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Empirical likelihood block bootstrapping
Allen, Jason (contributor); Gregory, Allan W. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003646389
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - 2010
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10008699878
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Empirical likelihood block bootstrapping
Allen, Jason (contributor); Gregory, Allan W. (contributor);  … - 2008
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...
Persistent link: https://www.econbiz.de/10003711710
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Empirical likelihood block bootstrapping
Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - In: Journal of econometrics 161 (2011) 2, pp. 110-121
Persistent link: https://www.econbiz.de/10009242200