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Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off

Perron, Benoit - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between...

Persistent link: https://www.econbiz.de/10005100969

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10008855592

Option-Implied Measures of Equity Risk

Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

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

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

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

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

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005100677

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

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

Persistent link: https://www.econbiz.de/10005100885

Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis

Hodgson, Douglas James; Seckin, Aylin - Centre Interuniversitaire de Recherche en Analyse des … - 2011

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian...

Persistent link: https://www.econbiz.de/10008833341

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...

Persistent link: https://www.econbiz.de/10008835415