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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

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

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

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

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

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

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

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

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

Leveraged Carry Trade Portfolios

Darvas, Zsolt - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10010494390