Since 2014
FINITE SAMPLE DISTRIBUTIONS OF RISK-RETURN RATIOS
Journal of Business and Finance
View Archive Info| Field | Value | |
| Title |
FINITE SAMPLE DISTRIBUTIONS OF RISK-RETURN RATIOS
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| Creator |
Habibi, Reza
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| Subject |
Bootstrap; Chi-squared approximation; Gram-Charlier expansion; Finite sample distribution; GARCH time series; Risk-return ratio; S&P 500
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| Description |
This paper approximates the finite sample distributions of risk-return ratios using bootstrapped Gram-Charlier expansion, in the case of independent returns case. Under GARCH modeling for returns, we approximate risk-return ratios by bootstrap and bootstrapped Gram-Charlier expansion. Hansen method is also applied and a chi-squared approximation is proposed. We also apply our results for S&P 500 data set. Finally, a conclusion section is given.
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| Publisher |
Journal of Business and Finance
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| Contributor |
—
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| Date |
2017-06-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
application/octet-stream |
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| Identifier |
http://www.escijournals.net/index.php/JBF/article/view/1557
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| Source |
Journal of Business and Finance; Vol 3, No 1 (2017): J. Bus. Financ.; 15-19
2305-1825 2308-7714 |
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| Language |
eng
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| Relation |
http://www.escijournals.net/index.php/JBF/article/view/1557/781
http://www.escijournals.net/index.php/JBF/article/view/1557/1023 |
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| Rights |
Copyright (c) 2017 Journal of Business and Finance
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