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

Beaulieu, Marie-Christine (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947329

Conditional dynamics and the multihorizon risk-return trade-off

Chernov, Mikhail; Lochstoer, Lars A.; Lundeby, Stig R. H. - In: The review of financial studies 35 (2022) 3, pp. 1310-1347

Persistent link: https://www.econbiz.de/10012878991

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

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

The effect of high school employment on educational attainment : a conditional difference-in-differences approach

Buscha, Franz; Maurel, Arnaud; Page, Lionel; … - 2008

Using American panel data from the National Educational Longitudinal Study of 1988 (NELS:88) this paper investigates the effect of working during grade 12 on attainment. We exploit the longitudinal nature of the NELS by employing, for the first time in the related literature, a semiparametric...