Narrow search
Showing 1 - 10 of 721
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
La performance de l'indice est-elle optimale?
Vauthey, Patrick - In: Finanzmarkt und Portfolio-Management 4 (1990) 4, pp. 369-377
Persistent link: https://www.econbiz.de/10001218037
Cover Image
Styles de gestion : espérances de rendement et expositions aux facteurs de risque
Dispas, Christophe - 2010
Persistent link: https://www.econbiz.de/10009419430
Cover Image
Allocation d'actifs et prévision des rendements
Jondeau, Eric - In: Finance : revue de l'Association Française de Finance 18 (1997) 2, pp. 67-81
Persistent link: https://www.econbiz.de/10001247902
Cover Image
Le patrimoine de rapport des ménages et ses performances
Malpot, Jean-Jacques - In: Economie et statistique (1995), pp. 31-39
Persistent link: https://www.econbiz.de/10001187807
Cover Image
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005
of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the …'évaluation d'actifs (CAPM) qui sont formulés dans le contexte des modèles de régression linéaires multivariés. De plus, ces …
Persistent link: https://www.econbiz.de/10005100963
Cover Image
Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005100843
Cover Image
Defining Consumption Behaviour in a Multi-Country Model
Allais, Olivier; Cadiou, Loic; Dees, Stéphane - Centre d'études prospectives et d'informations … - 2001
Persistent link: https://www.econbiz.de/10005406627