Zobrazeno 1 - 4
of 4
pro vyhledávání: '"[JEL:C33] Mathematical and Quantitative Methods - Econometric Methods: Multiple"'
Publikováno v:
Oxford Bulletin of Economics and Statistics. 65:891-906
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c31b3c3da770306077105477bd5afe8
https://doi.org/10.1046/j.0305-9049.2003.00085.x
https://doi.org/10.1046/j.0305-9049.2003.00085.x
Publikováno v:
Numerical Methods in Finance ISBN: 9780387251172
In this chapter, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution
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http://www.cireqmontreal.com/wp-content/uploads/cahiers/04-2005-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/04-2005-cah.pdf
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multiva
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::932aff17ac1b2f3682c2d2226956d60a
http://www.cireqmontreal.com/wp-content/uploads/cahiers/06-2003-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/06-2003-cah.pdf
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. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::607b8620ee5024226e23c6a125fc4c43
http://www.cireqmontreal.com/wp-content/uploads/cahiers/17-2002-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/17-2002-cah.pdf