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Exact nonparametric tests of orthogonality and random walk in the presence of a drift parameter

Campbell, Bryan - In: International economic review 38 (1997) 1, pp. 151-173

Persistent link: https://www.econbiz.de/10001215675

An empirical analysis of the Canadian budget process

Campbell, Bryan; Ghysels, Eric - 1995

Persistent link: https://www.econbiz.de/10001512524

Non-parametric regression models of deviations from orthogonality in the expectations theory of the term structure

Campbell, Bryan - In: Oxford bulletin of economics and statistics 59 (1997) 2, pp. 265-284

Persistent link: https://www.econbiz.de/10001223699

An empirical analysis of the Canadian budget process

Campbell, Bryan - In: The Canadian journal of economics 30 (1997) 3, pp. 553-576

Persistent link: https://www.econbiz.de/10001231798

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