Empirical likelihood based nonparametric testing for CAPM

MaRDI QIDQ4593691zbMATH OpenFDO

Authors Pietro Coretto, Maria Lucia Parrella

Publication date 22 November 2017

zbMATH Keywords

capital asset pricing modelempirical likelihoodgoodness-of-fit testnonparametric testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cited in

(5)

• Testing the capital asset pricing model with local maximum likelihood methods
• Financial applications of sequential nonparametric curve estimation
• Empirical tests of CAPM on Shenzhen's stock market
• Nonlinearities in the CAPM: evidence from developed and emerging markets
• A new test on the conditional capital asset pricing model

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