Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Year of publication: |
April 2016
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Authors: | Gungor, Sermin ; Luger, Richard |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 2, p. 161-175
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Subject: | Exact distribution-free inference | Monte Carlo bounds test | Multi-beta asset pricing model | Multivariate GARCH | Multivariate linear regression | CAPM | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis |
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