| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1963 |
| DP1963 Anatomy of Policy Complementarities | |
| Dennis Snower; Mike Orszag | |
| 发表日期 | 1998-09-30 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | In this paper we utilize White's Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average and determine the effects of data-snooping. |
| 主题 | Financial Economics |
| 关键词 | Bootstrap methods Data-snooping Financial performance Technical trading rules |
| URL | https://cepr.org/publications/dp1963 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531094 |
| 推荐引用方式 GB/T 7714 | Dennis Snower,Mike Orszag. DP1963 Anatomy of Policy Complementarities. 1998. |
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