Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
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Publication:2633428
DOI10.1007/s00362-016-0838-8zbMath1411.62295MaRDI QIDQ2633428
Manuel Galea, Patricia Gimenez
Publication date: 8 May 2019
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-016-0838-8
capital asset pricing model; Wald test statistic; first and second-order approaches; local influence diagnostics
62J05: Linear regression; mixed models
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F03: Parametric hypothesis testing
62J20: Diagnostics, and linear inference and regression
91G99: Actuarial science and mathematical finance
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