Fractile graphical analysis in finance: A new perspective with applications

• المؤلفون الرئيسيون: BERA, Anil K., GHOSH, Aurobindo
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2022
• الموضوعات: non-parametric regression; Fractile Graphical Analysis; rank regression; quantile regression; smooth test; F-tests; bootstrap tests; mutual fund returns; private equity returns; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/7196; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8195/viewcontent/jrfm_15_00412_v2.pdf
• المؤسسة: Singapore Management University

Fractile Graphical Analysis (FGA) was proposed by Prasanta Chandra Mahalanobis in 1961 as a method for comparing two distributions at two different points (of time or space) controlling for the rank of a covariate through fractile groups. We use bootstrap techniques to formalize the heuristic method...