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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - 2010

Bootstrap versions of the test statistics are proposed to improve on the finite-sample approximations. The finite sample …

Persistent link: https://www.econbiz.de/10013146791

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021

We propose a new nonparametric test to determine whether finite-activity jumps are present in a discretely observed price process. For a univariate Itô semimartingale, we introduce the concept of censored increments for observations recursively sampled at exit times with respect to a symmetric...

Persistent link: https://www.econbiz.de/10013321639

Robust Performance Hypothesis Testing with the Variance

Ledoit, Olivier - 2010

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 … methods. In particular, we suggest to construct a studentized time series bootstrap confidence interval for the ratio of the …

Persistent link: https://www.econbiz.de/10013136910

Permutation-based tests for discontinuities in event studies

Bugni, Federico A.; Li, Jia; Li, Qiyuan - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 37-70

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the...

Persistent link: https://www.econbiz.de/10014306351

Inference with large clustered datasets

MacKinnon, James G. - 2016

Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...

Persistent link: https://www.econbiz.de/10011528432

A Bayesian approach to backtest overfitting

Witzany, Jiří - 2017

Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...

Persistent link: https://www.econbiz.de/10011722180

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

Small sample properties of the Wilcoxon signed rank test with discontinuous and dependent observations

Chlaß, Nadine; Krüger, Jens J. - 2007

This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certain assumption violations in small samples. Emphasis is put on within-sample-dependence, between-sample dependence, and the presence of ties. Our results show that both assumption violations induce severe...

Persistent link: https://www.econbiz.de/10010263795

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach

Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Persistent link: https://www.econbiz.de/10010298783

How many consumers are rational?

Hoderlein, Stefan - 2009

Rationality places strong restrictions on individual consumer behavior. This paper is concerned with assessing the validity of the integrability constraints imposed by standard utility maximization, arising in classical consumer demand analysis. More specifically, we characterize the testable...

Persistent link: https://www.econbiz.de/10010288416