Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Year of publication: |
2002
|
---|---|
Authors: | BEAULIEU, Marie-Claude ; DUFOUR, Jean-Marie ; KHALAF, Lynda. |
Institutions: | Département de Sciences Économiques, Université de Montréal |
Subject: | catal asset icing model | CAPM | mean-variance efficiency | non-normality | multi-variate linear regression | uniform linear hythesis | exact test | Monte Carlo test | bootstra | nuisance rameters | scification test | diagnostics | GARCH | variance ratio test |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | 32 pages longges 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: |
-
DUFOUR, Jean-Marie, (2003)
-
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
BEAULIEU, Marie-Claude, (2005)
-
Dufour, Jean-Marie, (2003)
- More ...
-
DUFOUR, Jean-Marie, (2003)
-
DUFOUR, Jean-Marie, (2003)
-
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
BEAULIEU, Marie-Claude, (2005)
- More ...