This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies that uses Sharpe ratio. Monte Carlo...

This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies that uses Sharpe ratio. Monte Carlo...

It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...

It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...

We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...