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Robust Inference of Risks of Large Portfolios
We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extension of the H-CLUB procedure (Fan et al., 2015). Such an exte...
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| Publicado no: | J Econom |
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| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2016
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5091326/ https://ncbi.nlm.nih.gov/pubmed/27818569 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2016.05.008 |
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