Finite sample multivariate tests of asset pricing models with coskewness-Reference-Cited by-同舟云学术

Finite sample multivariate tests of asset pricing models with coskewness

Published:2009-04 Issue:6 Volume:53 Page:2008-2021
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

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

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference41 articles.

1. Arbitrage equilibrium with skewed asset returns;Barone-Adesi;Journal of Financial and Quantitative Analysis,1985

2. A test of the homogeneity hypothesis on asset pricing models;Barone-Adesi,2004

3. Testing asset pricing models with coskewness;Barone-Adesi;Journal of Business and Economic Statistics,2004

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

5. Beaulieu, M.-C., Dufour, J.-M., Khalaf, L., 2006. Testing Black’s CAPM with possibly non-gaussian errors: An exact identification-robust simulation-based approach, Technical Report, CIREQ, Université de Montréal and Université Laval

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