Multivariate Tests of Asset Pricing: The Comparative Power of Alternative Statistics
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Cited by:
- Gungor, Sermin & Luger, Richard, 2015.
"Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 35-65, Mars-Juin.
- Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.
- Dufour, Jean-Marie & Khalaf, Lynda, 2002.
"Simulation based finite and large sample tests in multivariate regressions,"
Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
- Jean-Marie Dufour & Lynda Khalaf, 2000. "Simulation Based Finite and Large Sample Tests in Multivariate Regressions," CIRANO Working Papers 2000s-15, CIRANO.
- 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.
- 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.
- Enrique Sentana, 2009.
"The econometrics of mean-variance efficiency tests: a survey,"
Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
- Sermin Gungor & Richard Luger, 2016.
"Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
- Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
- 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.
- 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.
- Bing Xiang, 1993. "The Choice of Return†Generating Models and Cross†Sectional Dependence in Event Studies," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 365-394, March.
- 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.
- Pesaran, M. Hashem & Yamagata, Takashi, 2012.
"Testing CAPM with a Large Number of Assets,"
IZA Discussion Papers
6469, Institute of Labor Economics (IZA).
- M Hashem Pesaran & Takashi Yamagata, 2012. "Testing CAPM with a Large Number of Assets," Discussion Papers 12/05, Department of Economics, University of York.
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