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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
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/10010295747
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Exact tests and confidence sets for the tail coefficient of a-stable distributions
Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003
In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for … implementation of our estimation and test procedure. It turns out that our estimate can improve the efficiency of any estimator for a …
Persistent link: https://www.econbiz.de/10010295764