Evaluating the size of the bootstrap method for fund performance evaluation

DOI10.1016/J.ECONLET.2017.03.028zbMath1398.62287OpenAlexW2600737792MaRDI QIDQ1673520

Cheng Yan, Tingting Cheng

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/21358/1/21358.pdf

zbMATH Keywords

bootstrapperformance evaluationMonte Carlo simulationunobservable factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Portfolio theory (91G10)

Cites Work

• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Theory and methods of panel data models with interactive effects
• Panel Data Models With Interactive Fixed Effects

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