Identification-Robust Estimation and Testing of the Zero-Beta CAPM

DOI10.1093/restud/rds044zbMath1405.91725OpenAlexW3124802462MaRDI QIDQ4610595

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

Publication date: 23 January 2019

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2011s-21.pdf

zbMATH Keywords

bootstrapnuisance parametersGARCHcapital asset pricing modelnon-normalityMonte Carlo testCAPMexact testweak identificationmultivariate linear regressionmean-variance efficiencyFiellerblackportfolio repackinguniform linear hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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