Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
| Year of publication: |
2016
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|---|---|
| Authors: | Beaulieu, Marie-Claude |
| Other Persons: | Dufour, Jean-Marie (contributor) ; Khalaf, Lynda (contributor) |
| Publisher: |
[2016]: [S.l.] : SSRN |
| Subject: | Schätzung | Estimation | CAPM | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
| Description of contents: |
In this paper we propose exact likelihood-based mean-variance efficiency tests of theIn diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz-
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freely available
| Extent: | 1 Online-Ressource (43 p) |
|---|---|
| Series: | Bundesbank Series 1 Discussion Paper ; No. 2003,01 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2003 erstellt |
| Other identifiers: | 10.2139/ssrn.2785166 [DOI] |
| Classification: | G14 - Information and Market Efficiency; Event Studies ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C12 - Hypothesis Testing ; G12 - Asset Pricing ; C33 - Models with Panel Data |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012991257