Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio. A popular tool to this end is the F-test for the equality of variances....

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...

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

Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the...

There has been a recent interest in reporting p-values adjusted for resampling-based stepdown multiple testing procedures proposed in Romano and Wolf (2005a,b). The original papers only describe how to carry out multiple testing at a fixed significance level. Computing adjusted p-values instead...

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent standard errors. Similarly, even when the true form of...

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Consider the problem of testing s hypotheses simultaneously. In order to deal with the multiplicity problem, the classical approach is to restrict attention to procedures that control the familywise error rate (FWE). Typically, it is known how to construct tests of the individual hypotheses, and...