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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Gonçalves, Sílvia; Kilian, Lutz - Centre Interuniversitaire de Recherche en Analyse des … - 2003

stationnaires autorégressifs dont le terme d'erreur est une différence de martingale. Les méthodes de bootstrap que nous étudions …

Persistent link: https://www.econbiz.de/10005100804

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

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

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

Le régime enregistré d'épargne-actions :<br>la fin du moratoire

Godbout, Luc; Laplante, Robert; Lapointe, Marc-André; … - Centre Interuniversitaire de Recherche en Analyse des … - 2005

As part of the 2003-2004 budget, the finance minister announced the imposition of a moratorium on certain fiscal policies related to the REA. In the advent of the termination of the moratorium in the next budget (2005-2006), the goal of this study is to find certain alternatives which could be...

Persistent link: https://www.econbiz.de/10005100791

Asymptotic and Bootstrap Inference for AR(<i>Infinite</i>) Processes with Conditional Heteroskedasticity

Gonçalves, Sílvia; Kilian, Lutz - Centre Interuniversitaire de Recherche en Analyse des … - 2003

estimated autoregressive sieve parameters when the data are generated by a stationary linear process with martingale difference … martingale possiblement hétéroscédastiques. Deuxièmement, nous démontrons la validité asymptotique d'une méthode de bootstrap …

Persistent link: https://www.econbiz.de/10005100842

Empirical Martingale Simulation for Asset Prices

Duan, Jin-Chuan; Simonato, Jean-Guy - Centre Interuniversitaire de Recherche en Analyse des … - 1995

derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset … price. This procedure is referred to as the empirical martingale simulation (EMS). The EMS ensures that the price estimated … simulation de Monte Carlo. La modification impose la propriété de martingale aux trajectoires simulées de la variable d'état sous …

Persistent link: https://www.econbiz.de/10005627153

On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation

Ghysels, Eric; Pereira, João - Centre Interuniversitaire de Recherche en Analyse des … - 2003

This paper studies the time series effect of changes in liquidity on optimal portfolio allocations. Using a … portfolio weights for a CRRA investor as functions of liquidity. Liquidity is measured by turnover, dollar volume, or price …-2000, we document a very interesting temporal dimension to the effects of changes in liquidity: whereas optimal weights are …

Persistent link: https://www.econbiz.de/10005100724

Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach

Detemple, Jérôme B.; Sundaresan, Suresh - Centre Interuniversitaire de Recherche en Analyse des … - 1999

We provide a simple binomial framework to value American-style derivatives subject to trading restrictions. The optimal investment of liquid wealth is solved simultaneously with the early exercise decision of the non-traded derivative. No-short-sales constraints on the underlying asset manifest...

Persistent link: https://www.econbiz.de/10005100781