Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
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Cites work
- scientific article; zbMATH DE number 3828921 (Why is no real title available?)
- scientific article; zbMATH DE number 3984433 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A Method for Simulating Stable Random Variables
- A bootstrap procedure for panel data sets with many cross-sectional units
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Biases in Dynamic Models with Fixed Effects
- Common risk factors in the returns on stocks and bonds
- Consistent Estimates Based on Partially Consistent Observations
- Mutual Fund Performance: Evidence from the UK
- Numerical calculation of stable densities and distribution functions
- On Bootstrap Iteration for Coverage Correction in Confidence Intervals
- Prepivoting to reduce level error of confidence sets
- Refining Bootstrap Simultaneous Confidence Sets
- Serial Correlation and the Fixed Effects Model
- Stable Paretian models in finance
- Wald Tests and Systems of Stochastic Equations
Cited in
(9)- Mutual fund performance: false discoveries, bias, and power
- A time-series bootstrapping simulation method to distinguish sell-side analysts' skill from luck
- Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model
- 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
- Analysis of Incremental Returns of Canadian Mutual Funds
- A distribution-free approach to estimating best response values with application to mutual fund performance modeling
- Evaluating mutual fund performance: an application of minimum convex input requirement set approach
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