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  • Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions 

    Beaulieu, Marie-Claude; Dufour, Jean Marie; Khalaf, Lynda (Université de Montréal. Département de sciences économiques., 2005)
    In this paper, 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 of ...