Testing mean variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation based approach
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt
Dt. Bundesbank
2003
|
| Schriftenreihe: | Discussion paper / Economic Research Centre of the Deutsche Bundesbank
2003,1 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 37 S. graph. Darst. |
| ISBN: | 3935821425 |
Internformat
MARC
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| 100 | 1 | |a Beaulieu, Marie-Claude |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Testing mean variance efficiency in CAPM with possibly non-gaussian errors |b an exact simulation based approach |c Marie-Claude Beaulieu ; Jean-Marie Dufour ; Lynda Khalaf |
| 246 | 1 | 3 | |a testing mean-variance efficiency in CAPM with possibly non-gaussian errors |
| 246 | 1 | 0 | |a mean-variance |
| 264 | 1 | |a Frankfurt |b Dt. Bundesbank |c 2003 | |
| 300 | |a 37 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Discussion paper / Economic Research Centre of the Deutsche Bundesbank |v 2003,1 | |
| 700 | 1 | |a Dufour, Jean-Marie |e Verfasser |4 aut | |
| 700 | 1 | |a Khalaf, Lynda |e Verfasser |4 aut | |
| 810 | 2 | |a Economic Research Centre of the Deutsche Bundesbank |t Discussion paper |v 2003,1 |w (DE-604)BV013545109 |9 2003,1 | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-010207066 | |
Datensatz im Suchindex
| _version_ | 1807593258945085440 |
|---|---|
| adam_text |
CONTENTS
1.
INTRODUCTION
1
2.
FRAMEWORK
4
3.
MEAN-VARIANCE
EFFICIENCY
TESTS
WITH
A
KNOWN
NORMALIZED
DISTURBANCE
DISTRIBUTION
6
4.
MEAN-VARIANCE
EFFICIENCY
TESTS
WITH
AN
INCOMPLETELY
SPECIFIED
ERROR
DISTRIBUTION
9
4.1.
TWO-STAGE
CONSTRAINED
MAXIMIZED
MONTE
CARLO
TEST
.
9
4.2.
CONFIDENCE
SET
FOR
ERROR
DISTRIBUTION
PARAMETERS
.
10
5.
EXACT
DIAGNOSTIC
CHECKS
10
5.1.
GOODNESS-OF-FIT
TESTS
.
10
5.2.
MULTIVARIATE
TESTS
FOR
GARCH
EFFECTS
AND
VARIANCE
RATIO
TESTS
.
12
6.
EMPIRICAL
ANALYSIS
14
7.
CONCLUSION
20
A.
APPENDIX:
FINITE-SAMPLE
DISTRIBUTIONAL
THEORY
23
A.L.
GENERAL
UNIFORM
LINEAR
RESTRICTIONS
TESTS
.
23
A.2.
INVARIANCE
OF
LACK-OF-FIT
TESTS
.
24
B.
APPENDIX:
MONTE
CARLO
TESTS
24
B.L.
GENERAL
METHOD
.
24
B.2.
MC
SKEWNESS
AND
KURTOSIS
TESTS
.
26
B.2.1.
ESTIMATING
EXPECTED
SKEWNESS
AND
KURTOSIS
.
26
B.2.2.
INDIVIDUAL
EXCESS
SKEWNESS
AND
KURTOSIS
TESTS
.
26
B.2.3.
COMBINED
EXCESS
SKEWNESS
AND
KURTOSIS
TEST
.
27
LIST
OF
PROPOSITIONS
AND
THEOREMS
3.1
THEOREM
:
DISTRIBUTION
OF
THE
QUASI-LR
CAPM
TEST
STATISTIC
.
7
5.1
PROPOSITION
:
DISTRIBUTION
OF
THE
MULTIVARIATE
SKEWNESS
AND
KURTOSIS
TEST
STATISTICS
.
.
11
A.1
THEOREM
:
DISTRIBUTION
OF
THE
QUASI-LR
UNIFORM-LINEAR
HYPOTHESIS
TEST
STATISTIC
.
23
LIST
OF
TABLES
1
PORTFOLIO
DEFINITIONS
.
15
2
NORMALITY
AND
MEAN-VARIANCE
EFFICIENCY
TESTS
.
16
3
TESTS
OF
MEAN-VARIANCE
EFFICIENCY
WITH
MULTIVARIATE
NORMAL
MIXTURE
ERRORS
.
17
4
MULTIVARIATE
DIAGNOSTICS
.
21 |
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| author | Beaulieu, Marie-Claude Dufour, Jean-Marie Khalaf, Lynda |
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| id | DE-604.BV016517376 |
| illustrated | Illustrated |
| indexdate | 2024-08-17T00:41:03Z |
| institution | BVB |
| isbn | 3935821425 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010207066 |
| oclc_num | 52660442 |
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| physical | 37 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Economic Research Centre of the Deutsche Bundesbank |
| spelling | Beaulieu, Marie-Claude Verfasser aut Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach Marie-Claude Beaulieu ; Jean-Marie Dufour ; Lynda Khalaf testing mean-variance efficiency in CAPM with possibly non-gaussian errors mean-variance Frankfurt Dt. Bundesbank 2003 37 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Economic Research Centre of the Deutsche Bundesbank 2003,1 Dufour, Jean-Marie Verfasser aut Khalaf, Lynda Verfasser aut Economic Research Centre of the Deutsche Bundesbank Discussion paper 2003,1 (DE-604)BV013545109 2003,1 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010207066&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Beaulieu, Marie-Claude Dufour, Jean-Marie Khalaf, Lynda Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach |
| title | Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach |
| title_alt | testing mean-variance efficiency in CAPM with possibly non-gaussian errors mean-variance |
| title_auth | Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach |
| title_exact_search | Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach |
| title_full | Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach Marie-Claude Beaulieu ; Jean-Marie Dufour ; Lynda Khalaf |
| title_fullStr | Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach Marie-Claude Beaulieu ; Jean-Marie Dufour ; Lynda Khalaf |
| title_full_unstemmed | Testing mean variance efficiency in CAPM with possibly non-gaussian errors an exact simulation based approach Marie-Claude Beaulieu ; Jean-Marie Dufour ; Lynda Khalaf |
| title_short | Testing mean variance efficiency in CAPM with possibly non-gaussian errors |
| title_sort | testing mean variance efficiency in capm with possibly non gaussian errors an exact simulation based approach |
| title_sub | an exact simulation based approach |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010207066&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013545109 |
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