C15 - Statistical Simulation Methods: General

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

• Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment

  Staff Discussion Paper 2014-4 Nicholas Labelle, Varya Taylor

  A default in the Automated Clearing Settlement System (ACSS) occurs when a Direct Clearer is unable to settle its final obligation.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C15, G, G0, G01, G2, G3