T. Cheng
Evaluating the size of the bootstrap method for fund performance evaluation
Cheng, T.; Yan, C.
Authors
C. Yan
Abstract
We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach.
Citation
Cheng, T., & Yan, C. (2017). Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters, 156, 36-41. https://doi.org/10.1016/j.econlet.2017.03.028
Journal Article Type | Article |
---|---|
Acceptance Date | Mar 23, 2017 |
Online Publication Date | Mar 31, 2017 |
Publication Date | Jul 1, 2017 |
Deposit Date | Mar 22, 2017 |
Publicly Available Date | Mar 28, 2024 |
Journal | Economics Letters |
Print ISSN | 0165-1765 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 156 |
Pages | 36-41 |
DOI | https://doi.org/10.1016/j.econlet.2017.03.028 |
Public URL | https://durham-repository.worktribe.com/output/1382311 |
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http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2017 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
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