Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Computational Statistics & Data Analysis 53 (2009) 6, pp. 2008-2021
Exact inference methods are proposed for asset pricing models with unobservable risk-free rates and coskewness; specifically, the Quadratic Market Model (QMM) which incorporates the effect of asymmetry of return distribution on asset valuation. In this context, exact tests are appealing given...