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Small sample rank tests with applications to asset pricing

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Author Info
Zhou, Guofu
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File URL: http://www.sciencedirect.com/science/article/B6VFG-3YCDPG6-H/2/1bd352a2598d4f647faa98bcf78d6289
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 2 (1995)
Issue (Month): 1 (March)
Pages: 71-93
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Handle: RePEc:eee:empfin:v:2:y:1995:i:1:p:71-93

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Web page: http://www.elsevier.com/locate/jempfin

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  1. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers 2002s-85, CIRANO. [Downloadable!]
    Other versions:
  2. DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 07-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
    Other versions:
  3. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO. [Downloadable!]
    Other versions:
  4. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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