Similar Search Results

The economic threshold with a stochastic pest population : a real options approach

Saphores, Jean-Daniel M. - In: American journal of agricultural economics 82 (2000) 3, pp. 541-555

Persistent link: https://www.econbiz.de/10001500407

Regulation and investment under uncertainty : an application to power grid interconnection

Saphores, Jean-Daniel M.; Gravel, Eric; Bernard, Jean-Thomas - In: Journal of regulatory economics 25 (2004) 2, pp. 169-186

Persistent link: https://www.econbiz.de/10001914689

The geometric-VaR backtesting method

Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745

Persistent link: https://www.econbiz.de/10011623861

Local-linear estimation of time-varying-parameter garch models and associated risk measures

Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234

Persistent link: https://www.econbiz.de/10012504329

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...