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Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

Persistent link: https://www.econbiz.de/10012887711

Testing for Monotonicity in Expected Asset Returns

Romano, Joseph P. - 2013

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10013092850