In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of...

In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of...

In this paper we study the goodness-of-fit test introduced by Fortiana and Grané (2003) and Grané (2012), in the context of randomly censored data. We construct a new test statistic undergeneral right-censoring, i.e., with unknown censoring distribution, and prove its asymptoticproperties....

Outliers of moderate magnitude cause large changes in financial time series of prices and returns and affect both the estimation of parameters and volatilities when fitting a GARCH-type model. The multivariate setting is still to be studied, but similar biases and impacts on correlation dynamics...