Sentences with phrase «sample subperiods»
They assess robustness across different sample subperiods, past volatility measurement intervals and portfolio holding intervals.
https://www.cxoadvisory.com/ Not exact matches
There are 96 (48) observations per quintile for the overall sample period (subperiods).
To test robustness of findings, they: (1) account for one - way trading frictions ranging from 0.02 % to 0.05 % across assets; (2) consider five subperiods to test consistency over time; and, (3) perform out - of - sample tests using the first part of each subperiod to select the best rules and roughly the last year to measure performance of these rules out - of - sample.
They split their sample into to subperiods, an early one with low smart beta ETF trading volumes and a late one with high volumes.