Cueto, José Manuel; Grané, Aurea; Cascos, Ignacio - In: Journal of risk and financial management : JRFM 13 (2020) 12/314, pp. 1-17
In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and … parameters involved. We compare our bootstrap-based inferential results with classical proposals (based on F-statistics). Methods … the market is thoroughly studied. We also observe that our block-bootstrap methodology seems to be more conservative with …