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Yes, the CAPM is testable

Guermat, Cherif - In: Journal of banking & finance 46 (2014), pp. 31-42

Persistent link: https://www.econbiz.de/10010467863

Doubly heteroscedastic stochastic production frontiers with an application to English cereal farms

Hadri, Kaddour; Guermat, Cherif; Whittaker, J. - 1999

Persistent link: https://www.econbiz.de/10001425821

Estimation of technical inefficiency effects using panel data and doubly heteroscedastic stochastic production frontiers

Hadri, Kaddour; Guermat, Cherif; Whittaker, J. - In: Empirical economics : a journal of the Institute for … 28 (2003) 1, pp. 203-222

Persistent link: https://www.econbiz.de/10001724174

Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

Guermat, Cherif; Harris, Richard D. F. - In: International journal of forecasting 18 (2002) 3, pp. 409-419

Persistent link: https://www.econbiz.de/10001690084

Doubly heteroscedastic stochastic production frontiers with technical inefficiency effects : application to panel data of english cereal farms

Hadri, Kaddour; Guermat, Cherif; Whittaker, J. - 1999

Persistent link: https://www.econbiz.de/10001468786

Heteroscedasticity in stochastic frontier models : a Monte Carlo analysis

Guermat, Cherif; Hadri, Kaddour - 1999

Persistent link: https://www.econbiz.de/10001398341

Backpropagation neural network versus translog model in stochastic frontiers : a Monte Carlo comparison

Guermat, Cherif; Hadri, Kaddour - 1999

Persistent link: https://www.econbiz.de/10001398347

Some extensions of the CAPM for individual assets

Vendrame, Vasco; Tucker, Jon; Guermat, Cherif - In: International review of financial analysis 44 (2016), pp. 78-85

Persistent link: https://www.econbiz.de/10011623808

A Conditional Higher-Moment CAPM

Vendrame, Vasco; Guermat, Cherif; Tucker, Jon - 2022

This paper investigates whether dynamic and moment extensions to the traditional CAPM can improve its empirical performance and offer some alternative explanation to the cross-section of average returns on portfolios of stocks double sorted on book-to-market ratios and size. We consider three...

Persistent link: https://www.econbiz.de/10014239325

A conditional higher-moment CAPM

Vendrame, Vasco; Guermat, Cherif; Tucker, Jon - In: International review of financial analysis 86 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014248411