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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924
Persistent link: https://www.econbiz.de/10010204244
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Exact multivariate tests of asset pricing models with stable asymmetric distributions
Beaulieu, Marie-Claude (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002652734
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Testing mean-variance efficiency in CAPM with possibly non-Gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Christine (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947329
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Beaulieu, Marie-Claude - 2016
Persistent link: https://www.econbiz.de/10012991257
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Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - In: Journal of applied econometrics 25 (2010) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10008667604
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Fixed, random, or something in between? : a variant of Hausman's specification test for panel data estimators
Frondel, Manuel; Vance, Colin - In: Economics letters 107 (2010) 3, pp. 327-329
Persistent link: https://www.econbiz.de/10008648232
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Fixed, random, or something in between? : a variant of HAUSMAN’s specification test for panel data estimators
Frondel, Manuel; Vance, Colin - 2010
Persistent link: https://www.econbiz.de/10008839892