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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …
Persistent link: https://www.econbiz.de/10005100677
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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 - Centre Interuniversitaire de Recherche en Analyse des … - 2002
tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …
Persistent link: https://www.econbiz.de/10005100885
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Which Volatility Model for Option Valuation?
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002
Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....
Persistent link: https://www.econbiz.de/10005100917
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Risque de modèle de volatilité
Alami, Ali; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001
The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for portfolio management. Moreover, the generalization of the use of derivatives has placed in the forefront the concept of volatility risk: i.e. the model risk generated by treating...
Persistent link: https://www.econbiz.de/10005100999
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001
) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …
Persistent link: https://www.econbiz.de/10005101027