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Long-term asset tail risks in developed and emerging markets
Straetmans, Stefan; Candelon, Bertrand - In: Journal of banking & finance 37 (2013) 6, pp. 1832-1844
Persistent link: https://www.econbiz.de/10009741911
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Long-term asset tail risks in developed and emerging markets
Straetmans, Stefan; Candelon, Bertrand - In: Journal of Banking & Finance 37 (2013) 6, pp. 1832-1844
tail parameters of the return distribution we propose a bootstrap-based version of the structural change test. Our …
Persistent link: https://www.econbiz.de/10010662612
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On portfolio optimization : imposing the right constraints
Behr, Patrick; Guettler, Andre; Miebs, Felix - In: Journal of banking & finance 37 (2013) 4, pp. 1232-1242
Persistent link: https://www.econbiz.de/10009719796
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Optimizing the smoothed bootstrap
Wang, Suojin - In: Annals of the Institute of Statistical Mathematics 47 (1995) 1, pp. 65-80
Persistent link: https://www.econbiz.de/10005616105
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On portfolio optimization: Imposing the right constraints
Behr, Patrick; Guettler, Andre; Miebs, Felix - In: Journal of Banking & Finance 37 (2013) 4, pp. 1232-1242
We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. Our results show that our constrained minimum-variance portfolio yields...
Persistent link: https://www.econbiz.de/10010741763
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A NEW MEDIAN BASED RATIO ESTIMATOR FOR ESTIMATION OF THE FINITE POPULATION MEAN
Subramani, J. - In: Statistics in Transition New Series 17 (2016) 4, pp. 591-604
Persistent link: https://www.econbiz.de/10012141640
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A NEW FAMILY OF ESTIMATORS OF THE POPULATION VARIANCE USING INFORMATION ON POPULATION VARIANCE OF AUXILIARY VARIABLE IN SAMPLE SURVEYS
Singh, Housila P.; Pal, Surya K. - In: Statistics in Transition New Series 17 (2016) 4, pp. 605-630
Persistent link: https://www.econbiz.de/10012141641
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Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates
Chen, Qian; Giles, David - In: Statistical Papers 53 (2012) 2, pp. 409-426
Persistent link: https://www.econbiz.de/10010848048
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Measuring Process Performance Based on Expected Loss with Asymmetric Tolerances
Pearn, W. L.; Chang, Y. C.; Wu, Chien-Wei - In: Journal of Applied Statistics 33 (2006) 10, pp. 1105-1120
omitted] , [image omitted] , and [image omitted] . We also analyzed the bias and the mean squared error in each case. The new …
Persistent link: https://www.econbiz.de/10009226399
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Maximum integrated likelihood estimator of the interest parameter when the nuisance parameter is location or scale
Zaigraev, A.; Podraza-Karakulska, A. - In: Statistics & Probability Letters 88 (2014) C, pp. 99-106
maximization of the integrated likelihood function. The estimators are compared, asymptotically, with respect to the bias and with …
Persistent link: https://www.econbiz.de/10010752953