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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
Persistent link: https://www.econbiz.de/10014282051
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Stock markets, current account dynamics, and exchange rate determination
Mercereau, Benoît - 2002
Persistent link: https://www.econbiz.de/10003780033
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Backtesting portfolio value-at-risk with estimated portfolio weights
Pei, Pei - 2010
Persistent link: https://www.econbiz.de/10008857817
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Parameter instability in mutual fund portofolio : a shiftimg regimes test
Bauer, Richard J.; Hays, Patrick A.; Upton, David E. - In: Quarterly journal of business and economics : QJBE 26 (1987) 1, pp. 50-62
Persistent link: https://www.econbiz.de/10003697667
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A Markov test for alpha
Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011
Persistent link: https://www.econbiz.de/10009303237
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924
Persistent link: https://www.econbiz.de/10010204244
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Performance hypothesis testing with the sharpe ratio : the case of hedge funds
Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 10 (2013) 4, pp. 196-208
Persistent link: https://www.econbiz.de/10010252332
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Automated portfolio optimization based on a new test for structural breaks
Berens, Tobias; Wied, Dominik; Ziggel, Daniel - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 2, pp. 243-264
Persistent link: https://www.econbiz.de/10010401331
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Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights
Pei, Pei - 2011
framework inapplicable. And it proposes a general theory to quantify estimation risk applicable to the present problem and …
Persistent link: https://www.econbiz.de/10013132320