Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Sermin Gungor, Richard Luger
| Year of publication: |
April 2016
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|---|---|
| Authors: | Gungor, Sermin ; Luger, Richard |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 2, p. 161-175
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| Subject: | Exact distribution-free inference | Monte Carlo bounds test | Multi-beta asset pricing model | Multivariate GARCH | Multivariate linear regression | CAPM | Statistischer Test | Statistical test | ARCH-Modell | ARCH model | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1019510 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691256