TESTING MEAN-VARIANCE EFFICIENCY IN CAPM WITH POSSIBLY NON-GAUSSIAN ERRORS : AN EXACT SIMULATION-BASED APPROACH
Year of publication: |
2002
|
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Authors: | BEAULIEU, Marie-Claude ; DUFOUR, Jean-Marie ; KHALAF, Lynda |
Institutions: | Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) |
Subject: | capital asset pricing model | CAPM | mean-variance efficiency | nonnormality | multivariate linear regression | uniform linear hypothesis | exact test | Monte Carlo test | bootstrap | nuisance parameters | specification test | diagnostics | GARCH | variance ratio test |
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