DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and … significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns …