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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- M Hashem Pesaran & Takashi Yamagata, 2012.
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- Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 111(2), pages 303-322, December.
- Dufour, J.M. & Khalaf, L., 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 2000-10, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2000-10, Universite de Montreal, Departement de sciences economiques.
- 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.
- Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Working Papers, Bank of Canada 13-16, Bank of Canada.
- Enrique Sentana, 2008.
"The Econometrics Of Mean-Variance Efficiency Tests: A Survey,"
Working Papers, CEMFI
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(3), pages C65-C101, November.
- 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.
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