vol_bootstrap_ci | Bootstrap confidence intervals for a return statistic of each column (or of the first column against each other one): mean, volatility, Sharpe, Sortino, quantile, expected shortfall, skewness, kurtosis, correlation, beta, mean or Sharpe difference. | |
vol_optimal_block_length | Politis-White (with the Patton-Politis-White correction) optimal block lengths for the stationary and the circular/moving block bootstrap, per column. | |
vol_bootstrap_replicates | The bootstrap distribution of a return statistic: each output’s estimate, replicate mean, bias, standard error, 2.5/97.5% quantiles, the covariance matrix of the outputs, and a histogram of the first output (chart). | |
vol_bootstrap_paths | Resamples a return series into many paths (stationary, circular or moving-block bootstrap, or iid) and reports the fan of the cumulative return (5/25/50/75/95 percentiles per step, chart), the terminal return’s mean, dispersion, probability of loss, VaR and expected shortfall, and the first resampled index sets. | |
