Similar Search Results

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …

Persistent link: https://www.econbiz.de/10005101027

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

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2005

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

Persistent link: https://www.econbiz.de/10005100838

Identification, Weak Instruments and Statistical Inference in Econometrics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2003

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

Persistent link: https://www.econbiz.de/10005100952

Une modalité d'éviter les tables des centiles dans la cas des régions de confiance et des tests statistiques

Ciuiu, Daniel - 2004

In this article we will determine the conﬁdence regions for the parameters of a distribution and versions of some tests without using tables that contain centiles.

Persistent link: https://www.econbiz.de/10015216736

Propositions d'indicateurs macroprudentiels pour le systeme bancaire de la CEMAC

KAMGNA, Severin Yves; TINANG, Nzesseu Jules; TSOMBOU, … - 2009

The main purpose of this paper is to determine the macro-prudential indicators of financial strength that can be used under supervision of the banking system in CEMAC. More specifically, we start from a set of indicators listed in the literature on macro-prudential supervision, and identify...

Persistent link: https://www.econbiz.de/10015217760

Une approche Macroprudentielle du risque systémique en zone CEMAC

Nguenang, Christian; Kamgna, Sévérin yves; Tinang, … - 2010

In this study, we identifie a small number of indicators of macro-prudential supervision important to monitoring of the banking’s system. We use the theory of Markov stochastic processes to measure the systemic risk of CEMAC by calculating the degree of fragility of system and we determine the...

Persistent link: https://www.econbiz.de/10015223527

Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien

Bouoiyour, Jamal; Marimoutou, Velayoudoum; Rey, Serge - 2003

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

Persistent link: https://www.econbiz.de/10015226535