Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

We show that two prominent bootstrap tests for fund skill have distorted test sizes because many funds have short return records and skewed return residuals, and they lack test power to detect skilled funds when a substantial number of unskilled funds are present. We develop the theory for a...

Predictive regressions are widely used in empirical economics and finance to investigate the Granger causality test, linear rational expectations hypothesis test, and market efficiency hypothesis. This paper develops a new unified predictability test regardless of the properties of predictors....