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 …

asymptotically. Such bands are based on a certain bootstrap procedure from the multiple-testing literature. We compare the finite … endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a …

the bias is larger for a more persistent factor. In such a case, bootstrap procedures are effective in reducing the bias … and bootstrap confidence intervals outperform naive asymptotic confidence intervals in terms of controlling the coverage …