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. Unfortunately, this test is not valid when the returns are correlated,
have tails heavier than the normal distribution, or are of time series nature. Instead, we
propose the use of robust inference methods. In particular, we suggest to construct a studentized
time series bootstrap confidence interval for the ratio of the two variances and to
declare the two variances different if the value one is not contained in the obtained interval.
This approach has the advantage that one can simply resample from the observed data
as opposed to some null-restricted data. A simulation study demonstrates the improved
finite-sample performance compared to existing methods.