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Small sample rank tests with applications to asset pricing

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  • Zhou, Guofu

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  • Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 71-93, March.
    • Handle: RePEc:eee:empfin:v:2:y:1995:i:1:p:71-93
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    Cited by:

    1. Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003. "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 891-906, December.
    2. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
    3. 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," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    4. 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.
    5. Bura, Efstathia & Cook, R. Dennis, 2003. "Rank estimation in reduced-rank regression," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 159-176, October.
    6. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.
    7. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
    8. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," Journal of Finance, American Finance Association, vol. 54(4), pages 1221-1248, August.
    9. Ziping Zhao & Daniel P. Palomar, 2018. "Sparse Reduced Rank Regression With Nonconvex Regularization," Papers 1803.07247, arXiv.org.
    10. Scott Gilbert & Petr Zemčík, 2005. "Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 236-252, July.

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