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Exact distribution-free tests of mean-variance efficiency

Gungor, Sermin; Luger, Richard - In: Journal of empirical finance 16 (2009) 5, pp. 816-829

Persistent link: https://www.econbiz.de/10003900411

Testing linear factor pricing models with large cross sections : a distribution-free approach

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 1, pp. 66-77

Persistent link: https://www.econbiz.de/10009715078

Exact inference in long-horizon predictive quantile regressions with an application to stock returns

Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788

Persistent link: https://www.econbiz.de/10012654991

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770

Persistent link: https://www.econbiz.de/10012483180

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10011691256

Bootstrap tests of mean-variance efficiency with multiple portfolio groupings

Gungor, Sermin; Luger, Richard - In: L' Actualité économique : revue trimest. 91 (2015) 1/2, pp. 35-65

Persistent link: https://www.econbiz.de/10011775768

Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach

Gungor, Sermin; Luger, Richard - In: Journal of Business & Economic Statistics 31 (2013) 1, pp. 66-77

In this article, we develop a finite-sample distribution-free procedure to test the beta-pricing representation of linear factor pricing models. In sharp contrast to extant finite-sample tests, our framework allows for unknown forms of nonnormalities, heteroscedasticity, and time-varying...

Persistent link: https://www.econbiz.de/10010606699

Exact distribution-free tests of mean-variance efficiency

Gungor, Sermin; Luger, Richard - In: Journal of empirical finance 16 (2009) 5, pp. 816-829

Persistent link: https://www.econbiz.de/10008323262

Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 1, pp. 66-77

Persistent link: https://www.econbiz.de/10010070371

Exact distribution-free tests of mean-variance efficiency

Gungor, Sermin; Luger, Richard - In: Journal of empirical finance 16 (2009) 5, pp. 816-830

Persistent link: https://www.econbiz.de/10008896099