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Testing for Return Predictability with Co-Moving Predictors of Unknown Form
Xu, Ke-Li - 2018
Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...
Persistent link: https://www.econbiz.de/10012919518
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - 2017
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...
Persistent link: https://www.econbiz.de/10011618038
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Beaulieu, Marie-Claude - 2016
Persistent link: https://www.econbiz.de/10012991257
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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 - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …
Persistent link: https://www.econbiz.de/10001731828
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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 - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10011431982
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A higher-order correct fast moving-average bootstrap for dependent data
La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020
We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment …-applied first- and higher-order correct methods. The results provide numerical evidence that the novel bootstrap yields higher …
Persistent link: https://www.econbiz.de/10012179669
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A Skeptical Appraisal of Robust Asset Pricing Tests
Kroencke, Tim Alexander; Thimme, Julian - 2021
price of risk of a candidate factor is equal to zero. Different from earlier studies, our bootstrap approach puts all tests …
Persistent link: https://www.econbiz.de/10013220273
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Identification-Robust Estimation and Testing of the Zero-Beta CAPM
Beaulieu, Marie-Claude - 2011
We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...
Persistent link: https://www.econbiz.de/10013130243
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On the Properties of Regression Tests of Asset Return Predictability
Velasco, Carlos - 2011
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10011325661