Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 25 (1990)
Issue (Month): 02 (June)
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- Dufour, J.M. & Khalaf, L., 2000.
"Simulation-Based Finite and Large Sample Tests in Multivariate Regressions,"
Cahiers de recherche
2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO.
- Enrique Sentana, 2008.
"The Econometrics Of Mean-Variance Efficiency Tests: A Survey,"
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- Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.
- Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
- Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 775-787, May.
- M Hashem Pesaran & Takashi Yamagata, 2012.
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12/05, Department of Economics, University of York.
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