Search Results - subject:"Multivariate normality"

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS

Mencía, Francisco Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004

Persistent link: https://www.econbiz.de/10005827087

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Persistent link: https://www.econbiz.de/10005545654

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003

Persistent link: https://www.econbiz.de/10005133089

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2005

We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the...

Persistent link: https://www.econbiz.de/10005124228

Invariant tests for multivariate normality: a critical review

Henze, Norbert - In: Statistical Papers 43 (2002) 4, pp. 467-506

Persistent link: https://www.econbiz.de/10005167183

Spherical harmonics in quadratic forms for testing multivariate normality

Manzotti, Alessandro; Quiroz, Adolfo - In: TEST: An Official Journal of the Spanish Society of … 10 (2001) 1, pp. 87-104

Persistent link: https://www.econbiz.de/10005759535

Testing the Multivariate Normality of Australian Stock Returns

Gray, Philip; Kalotay, Egon; McIvor, Julie - In: Australian Journal of Management 23 (1998) 2, pp. 135-150

The multivariate normality of stock returns is a crucial assumption in many tests of assets pricing models. While past … multivariate normality since they ignore the contemporaneous correlation between asset returns. This paper utilises a multivariate … multivariate normal. The results suggest violations of the multivariate normality assumption which cast doubt over the validity …

Persistent link: https://www.econbiz.de/10010769481

Omnibus Tests for Multivariate Normality of Observations and Residuals

Urzúa, Carlos M. - Escuela de Graduados en Administración Pública y … - 1996

This paper provides omnibus tests for multivariate normality of both observations and residuals. They are derived by …

Persistent link: https://www.econbiz.de/10005148438

On using influence functions for testing multivariate normality

Isogai, Takafumi - In: Annals of the Institute of Statistical Mathematics 41 (1989) 1, pp. 169-186

Persistent link: https://www.econbiz.de/10005395827