Exact confidence sets and goodness-of-fit methods for stable distributions

Author:

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

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference43 articles.

1. Statistical inference for computable general equilibrium models, with application to a model of the Moroccan economy;Abdelkhalek;Rev. Econ. Stat.,1998

2. Comment on ‘The spectral analysis of point processes’ by M. S. Bartlett;Barnard;J. R. Stat. Soc. Ser. B,1963

3. Exact multivariate tests of asset pricing models with stable asymmetric distributions;Beaulieu,2005

4. Multivariate tests of mean–variance efficiency with possibly non-Gaussian errors: an exact simulation-based approach;Beaulieu;J. Bus. Econom. Statist.,2007

5. Identification-robust estimation and testing of the zero-beta CAPM;Beaulieu;Rev. Econom. Stud.,2013

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