Showing 1 - 8 of 8
Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number of hedge funds from a large universe of candidate funds. We analyse whether such a selection can be successfully achieved by looking at the track records of the available funds alone, using advanced statistical...
Persistent link: https://www.econbiz.de/10008528448
Consider the problem of testing s hypotheses simultaneously. The usual approach to dealing with the multiplicity problem is to restrict attention to procedures that control the probability of even one false rejection, the familiar familywise error rate (FWER). In many applications, particularly...
Persistent link: https://www.econbiz.de/10005463520
Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the...
Persistent link: https://www.econbiz.de/10005585623
Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio. A popular tool to this end is the F-test for the equality of variances....
Persistent link: https://www.econbiz.de/10008679202
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10009019148
Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized familywise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and stepdown procedures that control the k-FWER...
Persistent link: https://www.econbiz.de/10005627785
This paper considers the problem of testing s null hypotheses simultaneously while controlling the false discovery rate (FDR). Benjamini and Hochberg (1995) provide a method for controlling the FDR based on p-values for each of the null hypotheses under the assumption that the p-values are...
Persistent link: https://www.econbiz.de/10005627803
Confidence intervals in econometric time series regressions suer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized...
Persistent link: https://www.econbiz.de/10005627884