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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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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013 - This Version: January 2013
data. -- Bootstrap ; CAPM ; Monotonicity tests ; Non-monotonic relations …
Persistent link: https://www.econbiz.de/10009747441
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
also present empirical applications to real data. -- Bootstrap ; CAPM ; Monotonicity tests ; Systematic relation …
Persistent link: https://www.econbiz.de/10009739163
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Robust block bootstrap panel predictability tests
Westerlund, Joakim; Smeekes, Stephan - 2013
Persistent link: https://www.econbiz.de/10010199463
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Implementing the panel event study
Clarke, Damian; Tapia Schythe, Kathya - 2020
Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study design. These models, as a generalized extension of 'difference-in-differences' or two-way fixed effect models, allow for dynamic lags and leads to the event of interest to be...
Persistent link: https://www.econbiz.de/10012256137
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Testing the white noise hypothesis in high-frequency housing returns of the United States
Tiwari, Aviral Kumar; Gupta, Rangan; Cuñado … - In: Economics and Business Letters : EBL 9 (2020) 3, pp. 178-188
Persistent link: https://www.econbiz.de/10012420487
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Testing the white noise hypothesis of stock returns
Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242
Persistent link: https://www.econbiz.de/10012198322
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On the Properties of Regression Tests of Asset Return Predictability
Velasco, Carlos - 2011
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
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An intersection-union test for the sharpe ratio
Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...
Persistent link: https://www.econbiz.de/10011866388
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - 2017
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...
Persistent link: https://www.econbiz.de/10011618038