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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
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/10011431982
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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
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/10001731828
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The stochastic fluctuation of the quantile regression curve
Härdle, Wolfgang (contributor); Song, Song (contributor) - 2008
Persistent link: https://www.econbiz.de/10003693057
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Testing for consistency using artificial regressions
MacKinnon, James G.; Davidson, Russell - 1987
Persistent link: https://www.econbiz.de/10003522198
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Assessing predictability and structural change : econometric analyses with financial applications
Deng, Ai - 2006
Persistent link: https://www.econbiz.de/10003965303
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Tests of concentration for low-dimensional and high-dimensional directional data
Cutting, Christine; Paindaveine, Davy; Verdebout, Thomas - 2015
Persistent link: https://www.econbiz.de/10011289146
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - 2012
Persistent link: https://www.econbiz.de/10009625937
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - 2013
Persistent link: https://www.econbiz.de/10009784706
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Distributional tests for regression discontinuity : theory and empirical examples
Shen, Shu; Zhang, Xiaohan - In: The review of economics and statistics 98 (2016) 4, pp. 685-700
Persistent link: https://www.econbiz.de/10011555812
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Evaluating direct multistep forecasts
Clark, Todd E.; McCracken, Michael W. - In: Econometric reviews 24 (2005) 4, pp. 369-404
Persistent link: https://www.econbiz.de/10003242861