Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "CAPM"
Now showing items 1-3 of 3
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Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
(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
(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
(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. ...