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False discoveries in the performance of Australian managed funds
Kim, Sangbae; In, Francis Haeuck; Ji, Philip Inyeob; … - In: Pacific-Basin finance journal 26 (2014), pp. 244-256
Persistent link: https://www.econbiz.de/10010498736
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Control of the false discovery rate under dependence using the bootstrap and subsampling
Romano, Joseph; Shaikh, Azeem; Wolf, Michael - In: TEST: An Official Journal of the Spanish Society of … 17 (2008) 3, pp. 417-442
Persistent link: https://www.econbiz.de/10005004355
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Control of Generalized Error Rates in Multiple Testing
Romano, Joseph P.; Wolf, Michael - Institut für Volkswirtschaftslehre, …
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
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Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel
Moon, H.R.; Perron, B. - In: Journal of Econometrics 169 (2012) 1, pp. 29-33
Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will...
Persistent link: https://www.econbiz.de/10010574064
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Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2008
this property via a simulation study and two empirical applications. In particular, the bootstrap method is competitive …
Persistent link: https://www.econbiz.de/10005627803
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010221576
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Avances recientes en métodos bootstrap para procesos ARCH. Una aplicación en el mercado español de valores
ÁLVAREZ, JESÚS ÁNGEL MIGUEL; RUBIO, PILAR OLAVE - In: Estudios de Economía Aplicada 20 (2002) Agosto, pp. 487-498
En este trabajo se presenta la metodología bootstrap como una alternativa para construir intervalos de predicción en … proporciona una revisión de los métodos bootstrap cuando las series analizadas son heterocedásticas, haciendo especial énfasis en … donde se aplica la metodología bootstrap para la construcción de intervalos de predicción. This paper presents the bootstrap …
Persistent link: https://www.econbiz.de/10005736954
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A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
Scaillet, Olivier - Swiss Finance Institute - 2005
on a simulation based multiplier method and a bootstrap method. We also explore the finite sample behaviour of both …
Persistent link: https://www.econbiz.de/10005612063
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An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
Omay, Tolga; Yuksel, Asli; Yuksel, Aydin - In: Journal of International Financial Markets, … 35 (2015) C, pp. 18-29
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we...
Persistent link: https://www.econbiz.de/10011208436
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Performance of mutual equity funds in Brazil – A bootstrap analysis
Laes, Marco Antonio; da Silva, Marcos Eugênio - In: EconomiA 15 (2014) 3, pp. 294-306
the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied …This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For … their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is …
Persistent link: https://www.econbiz.de/10011858419