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  • Search: subject:"multi-variate linear regression"
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CAPM 1 GARCH 1 Monte Carlo test 1 bootstra 1 catal asset icing model 1 diagnostics 1 exact test 1 mean-variance efficiency 1 multi-variate linear regression 1 non-normality 1 nuisance rameters 1 scification test 1 uniform linear hythesis 1 variance ratio test 1
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Free 1
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Book / Working Paper 1
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BEAULIEU, Marie-Claude 1 DUFOUR, Jean-Marie 1 KHALAF, Lynda. 1
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Département de Sciences Économiques, Université de Montréal 1
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda. - Département de Sciences Économiques, Université de … - 2002
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of...
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