Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
DOI10.1016/J.JECONOM.2014.05.010zbMATH Open1312.62137OpenAlexW2097528428MaRDI QIDQ473239FDOQ473239
Christos Ioannidis, Ian Tonks, Tristan Caulfield, David Blake
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://opus.bath.ac.uk/39710/1/Improved_Inference_Panel_Bootstrap_Methods_April_2014.pdf
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performance measurementmutual fundsbootstrap methodsfactor benchmark modelsopen-ended investment companiespanel methodsunit trusts
Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20)
Cites Work
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- Wald Tests and Systems of Stochastic Equations
- On Bootstrap Iteration for Coverage Correction in Confidence Intervals
- Mutual Fund Performance: Evidence from the UK
- Refining Bootstrap Simultaneous Confidence Sets
Cited In (7)
- Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model
- A distribution-free approach to estimating best response values with application to mutual fund performance modeling
- Analysis of Incremental Returns of Canadian Mutual Funds
- A Bayesian learning model of hedge fund performance
- Bootstrap analysis of mutual fund performance
- Evaluating the size of the bootstrap method for fund performance evaluation
- Evaluating mutual fund performance: an application of minimum convex input requirement set approach
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