This is a preview. Log in through your library . Abstract It is well-know that for heavy-tailed distributions the bootstrap can lead to inconsistent estimation of the distribution of the sample mean; ...

We consider the problem of testing the presence of alpha in linear factor pricing models. We propose a robust spatial sign-based nonparametric test that simultaneously alleviates two prominent ...

Discover how tail risk impacts portfolios, why rare financial events matter, and strategies for safeguarding investments against significant, unexpected losses.

The “tail” of a particle size distribution references the particles that are several standard deviations removed from the mean of the standard Gaussian distribution. Figure 1 demonstrates the ...