Finite sample multivariate tests of asset pricing models with coskewness

DOI10.1016/j.csda.2008.04.005zbMath1453.62041OpenAlexW2035155664MaRDI QIDQ961393

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

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.04.005

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (8)

Identification and inference in two-pass asset pricing models ⋮ On the precision of Calvo parameter estimates in structural NKPC models ⋮ A measure of multivariate kurtosis for the identification of the dynamics of a \(N\)-dimensional market ⋮ Estimation uncertainty in structural inflation models with real wage rigidities ⋮ Hypothesis testing based on a vector of statistics ⋮ Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory ⋮ The econometrics of mean‐variance efficiency tests: a survey ⋮ Independent Factor Autoregressive Conditional Density Model

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