Search Results - subject:"Multiple testing." - EconBiz

Finite- and Large-Sample Inference for Ranks using Multinomial Data with an Application to Ranking Political Parties

Wilhelm, Daniel; Mogstad, Magne; Shaikh, Azeem - 2021

It is common to rank different categories by means of preferences that are revealed through data on choices. A prominent example is the ranking of political candidates or parties using the estimated share of support each one receives in surveys or polls about political attitudes. Since these...

Persistent link: https://www.econbiz.de/10014533048

How to build a factor portfolio: Does the allocation strategy matter?

Dichtl, Hubert; Drobetz, Wolfgang; Wendt, Viktoria‐Sophie - In: European Financial Management 27 (2021) 1, pp. 20-58

factor-based allocation strategies within a multiple testing framework. Factor-based allocation is profitable beyond … exploiting genuine risk premia, even when applying multiple testing corrections. Investment portfolios can be efficiently …

Persistent link: https://www.econbiz.de/10012428766

A bayesian approach to measurement of backtest overfitting

Witzany, Jiří - In: Risks 9 (2021) 1, pp. 1-22

such as the Sharpe ratio in order to reflect properly the effect of multiple testing. We propose a consistent Bayesian …

Persistent link: https://www.econbiz.de/10013200688

Finite- and large-sample inference for ranks using multinomial data with an application to ranking political parties

Bazylik, Sergei; Mogstad, Magne; Romano, Joseph P.; … - 2021

It is common to rank different categories by means of preferences that are revealed through data on choices. A prominent example is the ranking of political candidates or parties using the estimated share of support each one receives in surveys or polls about political attitudes. Since these...

Persistent link: https://www.econbiz.de/10012667940

A bayesian approach to measurement of backtest overfitting

Witzany, Jiří - In: Risks : open access journal 9 (2021) 1/18, pp. 1-22

such as the Sharpe ratio in order to reflect properly the effect of multiple testing. We propose a consistent Bayesian …

Persistent link: https://www.econbiz.de/10012423034

Finite- and large-sample inference for ranks using multinomial data with an application to ranking political parties

Bazylik, Sergei; Mogstad, Magne; Romano, Joseph P.; … - 2021

It is common to rank different categories by means of preferences that are revealed through data on choices. A prominent example is the ranking of political candidates or parties using the estimated share of support each one receives in surveys or polls about political attitudes. Since these...

Persistent link: https://www.econbiz.de/10012667308

Dating financial bubbles via online multiple testing procedures

Genoni, Giulia; Quatto, Piero; Vacca, Gianmarco - In: Finance research letters 58 (2023) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10014581058

Skilled mutual fund selection : false discovery control under dependence

Wang, Lijia; Han, Xu; Tong, Xing - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 578-592

Persistent link: https://www.econbiz.de/10014448373

Resurrecting the market factor : a case of data mining across international markets

Hoang, Khoa; Huang, Ronghong; Truong, Helen - In: Pacific-Basin finance journal 82 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014463372

Model comparison in German stock returns

O'Connell, Michael - In: Journal of economic studies 50 (2023) 6, pp. 1245-1259

Persistent link: https://www.econbiz.de/10014331803

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