Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
Year of publication: |
2003-03-01
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Authors: | Dufour, Jean-Marie ; Khalaf, Lynda ; Beaulieu, Marie-Claude |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | modèle de régression multivarié | test d'ajustement | test de normalité | normalité multivariée | t de Student | mélange de lois normales | distribution stable | test de spécification | diagnostic | test exact | test de Monte Carlo | bootstrap | paramètre de nuisance | modèle d'évaluation d'actifs financiers | CAPM |
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Type of publication: | Book / Working Paper |
Language: | French |
Notes: | 35 pages |
Classification: | C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C12 - Hypothesis Testing ; C33 - Models with Panel Data ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Dufour, Jean-Marie, (2003)
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Beaulieu, Marie-Claude, (2002)
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude, (2005)
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Dufour, Jean-Marie, (2003)
-
Beaulieu, Marie-Claude, (2002)
-
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude, (2005)
- More ...