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Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
DUFOUR, Jean-Marie; FARHAT, Abdeljelil; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005
; consequently, the problem of evaluating joint rejection probabilities arises frequently in econometrics and statistics. In this …
Persistent link: https://www.econbiz.de/10008671569
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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 Économie … - 2005
distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …
Persistent link: https://www.econbiz.de/10008671570
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Generalized Predictive Tests and Structural Change Analysis in Econometrics.
Dufour, J.M.; Ghysels, E.; Hall, A. - Centre Interuniversitaire de Recherche en Économie … - 1992
Persistent link: https://www.econbiz.de/10005545555
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An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient.
Dufour, J.-M.; Hallin, M. - Centre Interuniversitaire de Recherche en Économie … - 1991
Persistent link: https://www.econbiz.de/10005545587
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A Theoretical Comparison Between Integrated and Realized Volatilies.
Meddahi, N. - Centre Interuniversitaire de Recherche en Économie … - 2001
In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.
Persistent link: https://www.econbiz.de/10005545599
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On the Rationship between Impulse Response Analysis, Innovation Accounting and Granger Causality.
Dufour, J.M.; Tessier, D. - Centre Interuniversitaire de Recherche en Économie … - 1993
Persistent link: https://www.econbiz.de/10005545620
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Changes in Seasonal Patters: Are They Cyclical.
Canova, F.; Ghysels, E. - Centre Interuniversitaire de Recherche en Économie … - 1992
Persistent link: https://www.econbiz.de/10005545631
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The Minimum Distance Estimator for Fractionally Integrated ARMA Models.
Chung, C.F.; Schmidt, P. - Economics Department, Michigan State University - 1994
Persistent link: https://www.econbiz.de/10005487086
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Long Memory Models and Macroeconomic Time Series.
Tieslau, M.A. - Economics Department, Michigan State University - 1991
Persistent link: https://www.econbiz.de/10005487088
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Prediction from the Regression Model with one-way Error Components.
Baillie, R.T.; Baltagi, B.H. - Economics Department, Michigan State University - 1994
Persistent link: https://www.econbiz.de/10005487089