How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...
I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important. A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
I created an Arima (3,1,1) model using the steps below. I was able to create a nonparametric model, but now I would like bootstrap for the created model (model 3). Also I'd like to plot the paths of ...