Fractile graphical analysis in finance: A new perspective with applications
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2022
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| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |