Questions tagged [bootstrap]
Resampling technique for estimating standard errors and computing confidence intervals of sample based quantities.
3 questions
7
votes
1
answer
2k
views
Question regarding the Category 3 PRIIP MRM calculation
My question is regarding the European Commission regulation on standardizing the information in the key information documents for PRIIPs. In the Annex IV of the regulation, one can find the ...
- 81
3
votes
1
answer
822
views
How do i test the significance of Sharpe ratio of a strategy using bootstrap
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 ?
...
- 93
2
votes
1
answer
830
views
Using Yield Term Structure for Bond Pricing in QuantLib: Is a Zero-Coupon Curve Necessary?
I've been using QuantLib for constructing a yield curve and pricing a bond. I am wondering if I'm using the correct method to create my yield term structure (yts) ...
- 407