Similar Search Results

Rendements boursiers et inflation : les pays en émergence

Beaulieu, Marie-Claude - In: L' Actualité économique : revue trimest. 71 (1995) 4, pp. 455-480

Persistent link: https://www.econbiz.de/10001196727

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; 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/10011431982

Less is more : testing financial integration using identification-robust asset pricing models

Beaulieu, Marie-Claude; Gagnon, Marie-Hélène; Khalaf, … - In: Journal of international financial markets, … 45 (2016), pp. 171-190

Persistent link: https://www.econbiz.de/10011690522

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

Persistent link: https://www.econbiz.de/10001731828

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 - In: Oxford bulletin of economics and statistics 65 (2003) suppl, pp. 891-906

Persistent link: https://www.econbiz.de/10001860218

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

Dufour, Jean-Marie (contributor); Khalaf, Lynda (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947824

Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - In: Journal of applied econometrics 25 (2010) 2, pp. 263-285

Persistent link: https://www.econbiz.de/10008667604

Asset-pricing anomalies and spanning : multivariate and multifactor tests with heavy-tailed distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of empirical finance 17 (2010) 4, pp. 763-782

Persistent link: https://www.econbiz.de/10009267245

Exact confidence sets and goodness-of-fit methods for stable distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 181 (2014) 1, pp. 3-14

Persistent link: https://www.econbiz.de/10010473451

Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 398-410

Persistent link: https://www.econbiz.de/10003566050