ratio and the variance). Unfortunately, many of the inference procedures that have been suggested previously in the applied … tails and time dependence in the return data. In particular, we will promote a studentized time series bootstrap procedure …

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 …

propose the use of robust inference methods. In particular, we suggest to construct a studentized time series bootstrap …

-weighted or the global minimum variance portfolio of the outperforming funds is held for one year, after which the selection …

change in kurtosis coefficients under the assumption of equal skewness coefficients and analyzing the change in skewness … coefficients under the assumption of equal kurtosis coefficients. Variances are assumed as heterogeneous for both situations and … variance ratios 2, 3, 4, 1/2, 1/3 and 1/4 are used. Also, equal sample sizes of 4, 5, 8, 10, 12, 15, 16 and 20 are used as …

factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term …-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term …, jointly. Moreover, we find that the same risk factors also predict the variance premium. This important contribution is …

powerful to detect changes in the conditional model parameters, whether or not the variance of the regression error is included …

Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used … distortions are more extreme for heteroskedastic conditional variance processes. These results invalidate in practice the use of … the changes in variance they detect are spurious. …