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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 Économie … - 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/10005133089

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 Économie … - 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/10005346022

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014

new tests are wild bootstrap implementations of score-based tests for the order of integration of a fractionally … in the presence of heteroskedasticity, but that the corresponding tests based on the wild bootstrap principle do. A Monte … bootstrap vis-à-vis the corresponding asymptotic tests in both heteroskedastic and homoskedastic environments. …

Persistent link: https://www.econbiz.de/10010886799

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - Economics Department, Queen's University - 2013

new tests are bootstrap implementations of score-based tests for the order of integration of a fractionally integrated … using a standard i.i.d. bootstrap admit pivotal asymptotic null distributions in the presence of heteroskedasticity, but … that the corresponding tests based on the wild bootstrap principle do. A Monte Carlo simulation study demonstrates that …

Persistent link: https://www.econbiz.de/10011147854

Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices

Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of Empirical Finance 20 (2013) C, pp. 42-62

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The discrete time representation of the...

Persistent link: https://www.econbiz.de/10011042120

An improved test for statistical arbitrage

Jarrow, Robert; Teo, Melvyn; Tse, Yiu Kuen; Warachka, Mitch - In: Journal of Financial Markets 15 (2012) 1, pp. 47-80

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies...

Persistent link: https://www.econbiz.de/10010572952

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

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

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

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

Persistent link: https://www.econbiz.de/10005729824

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

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including …

Persistent link: https://www.econbiz.de/10005729905

Do changes in distance-to-default anticipate changes in the credit rating?

Aggarwal, Nidhi; Singh, Manish; Thomas, Susan - Indira Gandhi Institute of Development Research (IGIDR) - 2012

Distance-to-default (DtD) from the Merton model has been used in the credit risk literature, most successfully as an input into reduced form models for forecasting default. In this paper, we suggest that the change in the DtD is informative for predicting change in the credit rating. This is...

Persistent link: https://www.econbiz.de/10010548056