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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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Robust nonparametric estimation of the intensity function of point data
Grillenzoni, Carlo - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 2, pp. 117-134
Persistent link: https://www.econbiz.de/10003716611
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On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index
Kim, Tae-hwan; White, Halbert - 2003
Persistent link: https://www.econbiz.de/10002118385
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On more robust estimation of skewness and kurtosis
Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10003307251
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Regression-based, regression-free and model-free approaches for robust online scale estimation
Schettlinger, Karen; Gelper, Sarah; Gather, Ursula; … - 2008
Persistent link: https://www.econbiz.de/10003977730
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Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations
Boudt, Kris (contributor); Croux, Christophe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003624500
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Errors, robustness, and the fourth quadrant
Taleb, Nassim Nicholas - In: International journal of forecasting 25 (2009) 4, pp. 744-759
Persistent link: https://www.econbiz.de/10003921416
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Revisiting Event Study Designs
Borusyak, Kirill - 2018
A broad empirical literature uses “event study” research designs for treatment effect estimation, a setting in which all units in the panel receive treatment but at random times. We make four novel points about identification and estimation of causal effects in this setting and show their...
Persistent link: https://www.econbiz.de/10012935695
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Revisiting event study designs : robust and efficient estimation
Borusyak, Kirill; Jaravel, Xavier; Spiess, Jann - 2022 - This version: April 2022
We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands absent strong restrictions on treatment-effect...
Persistent link: https://www.econbiz.de/10013186725