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A Revised Trade-to-Trade Model for All Levels of Trading Thinness in Event Studies
Anderson, Warwick W. - 2010
This paper offers an improvement to the trade-to-trade model for event studies. While the trade-to-trade model of Maynes and Rumsey (1993) addresses the problem of thin trading by eliminating periods in which no trading is recorded, the proposed improvement addresses the influence of zero-value...
Persistent link: https://www.econbiz.de/10013138994
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A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 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/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010221576
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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
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An empirical investigation of the performance of Japanese mutual funds : skill or luck?
Pilbeam, Keith; Preston, Hamish - In: International Journal of Financial Studies : open … 7 (2019) 1/6, pp. 1-16
33 funds we employ Fama and French’s cross-sectional bootstrap. The results show that a large proportion of funds fail to …
Persistent link: https://www.econbiz.de/10011964107
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Performance of mutual equity funds in Brazil : a bootstrap analysis
Laes, Marco Antonio; Silva, Marcos Eugênio da - In: Economia : revista da ANPEC 15 (2014) 3, pp. 294-306
the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied …
Persistent link: https://www.econbiz.de/10011865316
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573