Identification-robust estimation and testing of the zero-beta CAPM
Marie-Claude Beaulieu, Jean-Marie Dufor and Lynda Khalaf
| Year of publication: |
2013
|
|---|---|
| Authors: | Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda |
| Published in: |
The review of economic studies. - Oxford : Oxford Univ. Press, ISSN 0034-6527, ZDB-ID 209928-7. - Vol. 80.2013, 3, p. 892-924
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| Subject: | capital asset pricing model | CAPM | black | mean-variance efficiency | non-normality | weak identification | Fieller | multivariate linear regression | uniform linear hypothesis | exact test | Monte Carlo test | bootstrap | nuisance parameters | GARCH | portfolio repacking | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätzung | Estimation | Bootstrap-Verfahren | Bootstrap approach | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010204244