Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number ofhedge funds from a large universe of candidate funds. We analyse whether such a selectioncan be successfully achieved by looking at the track records of the available funds alone,using advanced statistical...

Applied researchers often want to make inference for the difference of a given performance measure for two investment strategies. In this paper, we consider the class of performance measures that are smooth functions of population means of the underlying returns; this class is very rich and...

In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...

We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...

The term structure of American interest rates is filtered to reduce the influence of cross correlations and auto correlations on its factors. A three-factor model is fitted to the filtered data. Contrary to most studies of the term structure on monthly data, performing statistical tests we...

Pearson's chi-squared test for independence in two-way contingency tables is developed under the assumption of multinomial sampling. In this paper I consider the case where draws are not independent but exhibit serial dependence. I derive the asymptotic distribution and show that adjusting...

I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are negative. A...

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A...