We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006 … unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the … first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross …

applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios. We … propose an alternative approach in the estimation of the day of the week effect. More specifically we apply fuzzy regressions …

We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006 … unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the … first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross …

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator … datasets. Our approach provides a superior alternative to existing estimation options by allowing researchers to retain the …

expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form …, which will direct MV portfolio estimation. We provide the limiting behavior of the quadratic form with the sample spectrally … proportionally with the sample size. Moreover, this paper deduces the limiting behavior of the expected return and risk on the …

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and …