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Robust resampling methods and stock returns predictability

Camponovo, Lorenzo ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO004.

The thesis consists of three chapters. In the first chapter we characterize the robustness of subsampling procedures by deriving a general formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust statistics. This instability...