Exact multivariate tests of asset pricing models with stable asymmetric distributions

zbMATH Open1126.91358MaRDI QIDQ3365822FDOQ3365822

Authors: Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf 

Publication date: 13 February 2006

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zbMATH Keywords

Monte Carlo testnuisance parameter

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (16)

• Finite sample multivariate tests of asset pricing models with coskewness
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Influence diagnostics in the capital asset pricing model under elliptical distributions
• Finite sample multivariate structural change tests with application to energy demand models
• Application of the multivariate average \(F\)-test to examine relative performance of asset pricing models with individual security returns
• Statistical testing for asymptotic no-arbitrage in financial markets
• Identification-robust estimation and testing of the zero-beta CAPM
• MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS
• Nonlinear bivariate comovements of asset prices: methodology, tests and applications
• Exact confidence sets and goodness-of-fit methods for stable distributions
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• A measure of multivariate kurtosis for the identification of the dynamics of a \(N\)-dimensional market
• Robust estimation with flexible parametric distributions: estimation of utility stock betas
• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
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• Chi-squared tests for evaluation and comparison of asset pricing models

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