9500 Gilman Drive
La Jolla, CA 92093-0508
University of California, San Diego (UCSD) - Department of Economics
in Total Papers Downloads
in Total Papers Citations
mutual funds, performance evaluation, bootstrap
Horizontal price restraints, Horizontal output restraints, Cartels, Collusion, Concerted Action, Sherman Act, Plus Factors, Buyer Actions
Sharpe Style Regression, Non-negativity, Linear-Quadratic Optimization, Prior Density, Bayesian Highest Posterior Density Interval
Bayesian highest posterior density interval, linear-quadratic optimization, nonnegativity, Sharpe-style regression
efficiency, Gauss-Markov, OLS estimator
Resampling methods, extreme value statistics, value at risk, portofolio selection
Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness
Information Matrix Testing, Specification Testing, Misspecification, QMLE, Nonparametric Bootstrap, Parametric Bootstrap, Monte Carlo, White Test, Probit Model, Linear Regression Model
Block bootstrap, Quasi-Maximum Likelihood Estimator, Nonlinear Dynamic Model, Near Epoch Dependence, Wald Test
Quantile Estimation, Misspecification, Asymptotic Normality, Aysmptotic Covariance Matrix
ARMA-GARCH models, Neutral Networks, Nonparametric Density Estimation, Forecast Accuracy
Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments
Conditional Independence, Generically Comprehensively Revealing, Nonparametric Test
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3060.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Forecast evaluation, bootstrap, data sharing, calendar effects, technical trading
CAViaR; codependence; quantile impulse-responses; spillover
Control variables, Covariates, Endogenous variables, Exogeneity, Monotonicity, Nonparametric, Nonseparable, Specification test, Unobserved heterogeneity
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-5982.
C30, C32, C45, C51, E65, causality, conditional exogeneity, exogeneity, natural experiments, structural equations, vector autoregression
C12, C13, G12, incomplete markets, partial identification, risk-neutral measure, set estimation
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.924 seconds