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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 Analyse des … - 2003

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

Persistent link: https://www.econbiz.de/10005100629

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005100677

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 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 framework of...

Persistent link: https://www.econbiz.de/10005100885

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...

Persistent link: https://www.econbiz.de/10005100963

Early Initiation of Highly Active Antiretroviral Therapies (HAART) for HIV/aids: The Contribution of a Stochastic Dynamic Model of Choice

Lasserre, Pierre; Moatti, Jean-Paul; Soubeyran, Antoine - Centre Interuniversitaire de Recherche en Analyse des … - 2004

intermediary revelation of information, in which the efficiency gains from a new effective Therapy in second period are conditional … formulons un modèle qui combine irréversibilité et inertie dans un cadre de décision thérapeutique séquentielle. L'information … conditionnelle à cette information. Il s'avère que des patients identiques peuvent se voir administrer des traitements différents à l …

Persistent link: https://www.econbiz.de/10005100610

Early Initiation of Highly Active Antiretroviral Therapies for Aids: Dynamic choice with Endogenous and Exogenous Learning

Lasserre, Pierre; Moatti, Jean-Paul; Soubeyran, Antoine - Centre Interuniversitaire de Recherche en Analyse des … - 2005

period one treatment adoption is an irreversible act with future, but uncertain, consequences. New information, both …

Persistent link: https://www.econbiz.de/10005100920

Optimal Justice in a General Equilibrium Model with Non Observable Individual Productivities

Lasserre, Pierre; Soubeyran, Antoine - Centre Interuniversitaire de Recherche en Analyse des … - 1999

In this general equilibrium model, justice and police institutions are treated as a mechanism that induces individuals to extend some desirable productive effort. This determines individual encroachment activities which in turn determine the proportion of aggregate production that fails to be...

Persistent link: https://www.econbiz.de/10005100938

Seasoned Equity Offerings by Small and Medium-Sized Enterprises

Carpentier, Cécile; L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2010

Most of the analyses of small firms' decision to seek outside equity financing and the conditions thereof have concerned private firms. Knowledge of the risk and return of entrepreneurial ventures for outside investors is consequently limited. This paper attempts to fill this gap by examining...

Persistent link: https://www.econbiz.de/10008542598

Anomalies de marché et sélection des titres au Canada

Guay, Richard; L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1995

Cet article examine de manière conjointe les effets de la taille, des ratios bénéfice/cours et valeur comptable/valeur marchande des actions sur les rendements des actions canadiennes. Il présente une estimation des primes de risque associées à chacune de ces anomalies de marché. Les...

Persistent link: https://www.econbiz.de/10005079378

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Standard empirical investigations of jump dynamics in returns and volatility are fairly complicated due to the presence …

Persistent link: https://www.econbiz.de/10004976985