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Simulation-based exact jump tests in models with conditional heteroskedasticity

Khalaf, Lynda; Saphores, Jean-Daniel; Bilodeau, … - In: Journal of economic dynamics & control 28 (2003) 3, pp. 531-553

Persistent link: https://www.econbiz.de/10001853762

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

Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions

Dufour, Jean-Marie; Khalaf, Lynda - 2000

Persistent link: https://www.econbiz.de/10001504719

Simulation-based finite and large sample tests in multivariate regressions

Dufour, Jean-Marie; Khalaf, Lynda - 2000

Persistent link: https://www.econbiz.de/10001504748

Simulation based finite and large sample tests in multivariate regressions

Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 111 (2002) 2, pp. 303-322

Persistent link: https://www.econbiz.de/10001715751

Exact multivariate tests of asset pricing models with stable asymmetric distributions

Beaulieu, Marie-Claude (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002652734

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 - In: Oxford bulletin of economics and statistics 65 (2003) suppl, pp. 891-906

Persistent link: https://www.econbiz.de/10001860218

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

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie (contributor); Khalaf, Lynda (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947824