Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
Author:
Affiliation:
1. Funds Management and Banking Department, Bank of Canada, Ottawa, K1A 0G9, Ontario, Canada
2. Department of Finance, Insurance and Real Estate, Laval University, Quebec City, G1V 0A6, Quebec, Canada
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1019510
Reference58 articles.
1. Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics
2. A note on tests of significance in multivariate analysis
3. Multivariate Analysis
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