Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "GARCH"

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  • Aggregations and Marginalization of GARCH and Stochastic Volatility Models 

    Meddahi, Nour; Renault, Éric (Université de Montréal. Département de sciences économiques., 1998)
    The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger ...

  • 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 ...

  • Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects 

    Dufour, Jean Marie; Khalaf, Lynda; Bernard, Jean-Thomas; GENEST, Ian (Université de Montréal. Département de sciences économiques., 2001)
    A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations ...

  • 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. ...