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Comment on: identification robust testing of risk premia in finite samples

Khalaf, Lynda - In: Journal of financial econometrics 21 (2023) 2, pp. 298-302

Persistent link: https://www.econbiz.de/10014314743

Backtesting value-at-risk : a duration-based approach

Christoffersen, Peter F.; Pelletier, Denis - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 84-108

Persistent link: https://www.econbiz.de/10002214210

Nonnested testing in models estimated via generalized method of moments

Hall, Alastair R.; Pelletier, Denis - In: Econometric theory 27 (2011) 2, pp. 443-456

Persistent link: https://www.econbiz.de/10009310703

Local-linear estimation of time-varying-parameter garch models and associated risk measures

Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234

Persistent link: https://www.econbiz.de/10012504329

Practical methods for modeling weak VARMA processes : identification, estimation and specification with a macroeconomic application

Dufour, Jean-Marie; Pelletier, Denis - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1140-1152

Persistent link: https://www.econbiz.de/10013539468

A stochastic price duration model for estimating high-frequency volatility

Pelletier, Denis; Wei, Wei - 2024

Persistent link: https://www.econbiz.de/10015338802

Simulation based inference in moving average models

Ghysels, Eric; Khalaf, Lynda; Vodounou, Cosmé - 1995

Persistent link: https://www.econbiz.de/10001512547

Simulation based inference in moving average models

Ghysels, Eric; Khalaf, Lynda; Vodounou, Cosmé - In: Annales d'économie et de statistique (2003), pp. 85-99

Persistent link: https://www.econbiz.de/10001771345

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

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/10001731828

Testing mean-variance efficiency in CAPM with possibly non-Gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Christine (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947329