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Citations of "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach"

Citations listed on IDEAS

Citations are provided by the CitEc Project. There are 31 citations for this work, of which 28 are used for statistical purposes after eliminating self-citations by any author or within any serial.
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  1. Vintilă Georgeta & Păunescu Radu Alin, 2015, "Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components," Scientific Annals of Economics and Business, Sciendo, volume 62, issue 3, pages 453-480, November, DOI: 10.1515/aicue-2015-0030.
  2. Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018, "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, volume 15, issue 2, pages 297-317, June, DOI: 10.1007/s10287-018-0317-x.
  3. Alexeev, Vitali & Maynard, Alex, 2012, "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3322-3344, DOI: 10.1016/j.csda.2010.06.026.
  4. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016, "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 46-61, DOI: 10.1016/j.jeconom.2015.08.003.
  5. Taras Bodnar & Arjun K. Gupta & Valdemar Vitlinskyi & Taras Zabolotskyy, 2019, "Statistical Inference for the Beta Coefficient," Risks, MDPI, volume 7, issue 2, pages 1-14, May.
  6. Sakhanenko, Lyudmila, 2008, "Testing for ellipsoidal symmetry: A comparison study," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 2, pages 565-581, December.
  7. Enrique Sentana, 2008, "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI, number wp2008_0807, May.
  8. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015, "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2015-001.
  9. Gabriele Fiorentini & Enrique Sentana, 2007, "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series, Rimini Centre for Economic Analysis, number 38_07, Jul.
  10. Hafner, C.M. & Rombouts, J.V.K., 2004, "Semiparametric multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-21, May.
  11. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006, "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, volume 32, issue 2, pages 151-168, March, DOI: 10.1007/s11146-006-6012-7.
  12. Gabriele Fiorentini & Enrique Sentana, 2021, "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, volume 12, issue 3, pages 683-742, July, DOI: 10.3982/QE1406.
  13. Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004, "Testing forward exchange rate unbiasedness efficiently: A semiparametric approach," Journal of Applied Economics, Universidad del CEMA, volume 7, issue 2, pages 1-29, November, DOI: 10.22004/ag.econ.43548.
  14. Danilo Leal & Rodrigo Jiménez & Marco Riquelme & Víctor Leiva, 2023, "Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale," Mathematics, MDPI, volume 11, issue 6, pages 1-27, March.
  15. Manuel Galea & David Cademartori & Roberto Curci & Alonso Molina, 2020, "Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution," JRFM, MDPI, volume 13, issue 6, pages 1-22, June.
  16. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010, "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 763-782, September.
  17. Sladana Babic & Laetitia Gelbgras & Marc Hallin & Christophe Ley, 2019, "Optimal tests for elliptical symmetry: specified and unspecified location," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2019-26, Nov.
  18. Peremans, Kris & Van Aelst, Stefan, 2018, "Robust inference for seemingly unrelated regression models," Journal of Multivariate Analysis, Elsevier, volume 167, issue C, pages 212-224, DOI: 10.1016/j.jmva.2018.05.002.
  19. Hailong Qian & Heather L. Bednarek, 2015, "Partial efficient estimation of SUR models," Economics Bulletin, AccessEcon, volume 35, issue 1, pages 338-348.
  20. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005, "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers, CIRANO, number 2005s-03, Feb.
  21. Zheyuan Zhang & Huiying Wu & Sammy Xiaoyan Ying & Jiaxing You, 2023, "Corporate Innovation and Disclosure Strategy," Abacus, Accounting Foundation, University of Sydney, volume 59, issue 1, pages 76-133, March, DOI: 10.1111/abac.12248.
  22. Fiorentini, Gabriele & Sentana, Enrique, 2019, "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, volume 213, issue 2, pages 321-358, DOI: 10.1016/j.jeconom.2019.05.017.
  23. Asimit, Alexandru V. & Jones, Bruce L., 2007, "Extreme behavior of bivariate elliptical distributions," Insurance: Mathematics and Economics, Elsevier, volume 41, issue 1, pages 53-61, July.
  24. Bao, Te & Diks, Cees & Li, Hao, 2018, "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, volume 68, issue C, pages 611-621, DOI: 10.1016/j.econmod.2017.03.035.
  25. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017, "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, volume 196, issue 2, pages 305-319, DOI: 10.1016/j.jeconom.2016.10.001.
  26. Guermat, Cherif & Freeman, Mark C., 2010, "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, volume 19, issue 1, pages 1-9, January.
  27. Bodnar, Taras & Reiß, Markus, 2016, "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, volume 150, issue C, pages 125-151, DOI: 10.1016/j.jmva.2016.05.011.
  28. Dawood Ashraf, 2016, "Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices," Journal of Business Ethics, Springer, volume 134, issue 2, pages 209-228, March, DOI: 10.1007/s10551-014-2422-2.
  29. Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.
  30. Douglas J. Hodgson & Keith Vorkink, 2001, "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 144, Oct.
  31. Sima M. Fortsch & Jeong Hoon Choi & Elena A. Khapalova, 2022, "Competition can help predict sales," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 2, pages 331-344, March, DOI: 10.1002/for.2818.
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