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Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We .nd that option-implied volatility and skewness...
Persistent link: https://www.econbiz.de/10004976983
Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...
Persistent link: https://www.econbiz.de/10005100629
applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and … level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on …
Persistent link: https://www.econbiz.de/10005100677
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …
Persistent link: https://www.econbiz.de/10005100885