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skewness
Monte Carlo test
2
diagnostics
2
efficience de portefeuille
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exact test
2
hypothèse linéaire uniforme
2
mean-variance efficiency
2
modèle de régression multivarié
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multivariate linear regression
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non-normality
2
non-normalité
2
paramètres de nuisance
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specification test
2
test de Monte Carlo
2
test exact
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tests diagnostiques
2
uniform linear hypothesis
2
CAPM
1
Capital asset pricing model
1
GARCH
1
Modèle d'évaluation d'actifs financiers
1
aplatissement
1
asymmetry
1
asymétrie
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bootstrap
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capital asset pricing model
1
kurtosis
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loi stable
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modèle d'évaluation d'actifs financiers
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nuisance parameter
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nuisance parameters
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stable distribution
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test de ratio des variances
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test de spécification
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variance ratio test
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French
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Beaulieu, Marie-Claude
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Dufour, Jean-Marie
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Khalaf, Lynda
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2005
. Les méthodes suggérées sont basées sur des tests de Monte Carlo. Des
tests
diagnostiques
multivariés sont formellement …
Persistent link: https://www.econbiz.de/10005100963
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