Analysis of the conditional stock-return distribution under incomplete specification.

DOI10.1016/S0377-2217(03)00086-9zbMath1043.62084OpenAlexW2141143063MaRDI QIDQ1427543

Susana Alvarez, J. Samuel Baixauli

Publication date: 14 March 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(03)00086-9

zbMATH Keywords

Bootstrap methodCrámer-von Mises test statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (2)

Mean-VaR portfolio selection under real constraints ⋮ Models for stock returns

Uses Software

• bootstrap

Cites Work

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• Robust Estimation, Nonnormalities, and Generalized Exponential Distributions
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Dynamic value at risk under optimal and suboptimal portfolio policies.

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