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Citations for "Tests of Mean-Variance Spanning"

by Raymond Kan & Guofu Zhou

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  1. BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 2002-17, Universite de Montreal, Departement de sciences economiques.
  2. Balli, Faruk & Balli, Hatice Ozer & Luu, Mong Ngoc, 2014. "Diversification across ASEAN-wide sectoral and national equity returns," Economic Modelling, Elsevier, vol. 41(C), pages 398-407.
  3. DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche 2003-08, Universite de Montreal, Departement de sciences economiques.
  4. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
  5. Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
  6. Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
  7. Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Working Papers CEB 13-031, ULB -- Universite Libre de Bruxelles.
  8. O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
  9. Switzer, Lorne N. & Tahaoglu, Cagdas, 2015. "The benefits of international diversification: market development, corporate governance, market cap, and structural change effects," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 76-97.
  10. 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.
  11. Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers ysm371, Yale School of Management, revised 01 Jul 2003.
  12. Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
  13. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
  14. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
  15. Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  16. Fletcher, Jonathan & Marshall, Andrew, 2005. "An empirical examination of the benefits of international diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 455-468, December.
  17. Abhyankar, Abhay & Ho, Keng-Yu, 2007. "Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 61-80.
  18. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
  19. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Exploring Diversification Benefits in Asia-Pacific Equity Markets," MPRA Paper 60180, University Library of Munich, Germany.
  20. Ando, Masakazu & Hodoshima, Jiro, 2006. "The robustness of asset pricing models: Coskewness and cokurtosis," Finance Research Letters, Elsevier, vol. 3(2), pages 133-146, June.
  21. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  22. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
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