This paper illustrates the usefulness of resampling-based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown; (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose likelihood-ratio-type tests as well as...

We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage ef fect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility and find that implied volatilities are...