Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity

This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading statistical inferences. The correct critical values, as reported in the study, are considerably larger than suggested by the GRS test

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Year of publication:	2017
Authors:	Grobys, Klaus
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Heteroskedastizität \| Heteroscedasticity \| Stichprobenerhebung \| Sampling \| Monte-Carlo-Simulation \| Monte Carlo simulation

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