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A factor-adjusted multiple testing procedure with application to mutual fund selection
Lan, Wei; Du, Lilun - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 147-157
Persistent link: https://www.econbiz.de/10012176556
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Heterogeneity in expectations, risk tolerance, and household stock shares : the attenuation puzzle
Ameriks, John; Kézdi, Gábor; Lee, Minjoon; Shapiro, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 633-646
Persistent link: https://www.econbiz.de/10012262501
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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
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A one-sided refined symmetrized data aggregation approach to robust mutual fund selection
Feng, Long; Liu, Binghui; Ma, Yanyuan - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 257-271
Persistent link: https://www.econbiz.de/10014449920
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Evidence of uniform inefficiency in market portfolios based on dominance tests
Anyfantaki, Sofia; Maasoumi, Esfandiar; Ren, Jue; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 937-949
Persistent link: https://www.econbiz.de/10013539392
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Inferring the predictability induced by a persistent regressor in a predictive threshold model
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217
Persistent link: https://www.econbiz.de/10011704166
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
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A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
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Understanding the risk-return relation : the aggregate wealth proxy actually matters
Cederburg, Scott; O'Doherty, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 721-735
Persistent link: https://www.econbiz.de/10012179374