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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
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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
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
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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
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
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Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998
One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...
Persistent link: https://www.econbiz.de/10005100613
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The Valuation of Volatility Options
Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999
This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process. Explicit...
Persistent link: https://www.econbiz.de/10005100856
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Analytic Evaluation of Volatility Forecasts
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed returns. In response to this, Andersen, Bollerslev, Diebold...
Persistent link: https://www.econbiz.de/10005100878
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The Importance of the Loss Function in Option Valuation
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in...
Persistent link: https://www.econbiz.de/10005100937
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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
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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
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Anomalies de marché et sélection des titres au Canada
Guay, Richard; L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1995
Cet article examine de manière conjointe les effets de la taille, des ratios bénéfice/cours et valeur comptable/valeur marchande des actions sur les rendements des actions canadiennes. Il présente une estimation des primes de risque associées à chacune de ces anomalies de marché. Les...
Persistent link: https://www.econbiz.de/10005079378