Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par auteur·e "Beaulieu, Marie-Claude"
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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 ... -
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
Dufour, Jean Marie; Khalaf, Lynda; Beaulieu, Marie-Claude (Université de Montréal. Département de sciences économiques., 2003)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-equation ... -
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean Marie; Khalaf, Lynda; Beaulieu, Marie-Claude (Université de Montréal. Département de sciences économiques., 2003)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 multivariate ... -
Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean Marie; Khalaf, Lynda (Université de Montréal. Département de sciences économiques., 2002)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. ...