Identification-robust estimation and testing of the zero-beta CAPM
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- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2013. "Identification-Robust Estimation and Testing of the Zero-Beta CAPM," Review of Economic Studies, Oxford University Press, vol. 80(3), pages 892-924.
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- Helmut Lütkepohl & George Milunivich & Minxian Yang, 2016.
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Discussion Papers of DIW Berlin
1632, DIW Berlin, German Institute for Economic Research.
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- Beaulieu, Marie-Claude & Gagnon, Marie-Hélène & Khalaf, Lynda, 2016. "Less is more: Testing financial integration using identification-robust asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 171-190.
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Keywordscapital asset pricing model; CAPM; Black; mean-variance efficiency; non-normality; weak identification; Fieller; multivariate linear regression; uniform linear hypothesis; exact test; Monte Carlo test; bootstrap; nuisance parameters; GARCH; portfolio repacking.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-19 (All new papers)
- NEP-CIS-2011-02-19 (Confederation of Independent States)
- NEP-ECM-2011-02-19 (Econometrics)
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