Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach / Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf.
Tipo de material: TextoSeries Discussion paper (Deutsche Bundesbank). Series 1: Studies of the Economic Research Centre ; no. 01/03Detalles de publicación: Frankfurt : Deutsche Bundesbank. Economic Research Centre, 2003Descripción: 37 pISBN:- 3935821425
- 332.0414 21
Contenidos:
1. Introduction -- 2. Framework -- 3. Mean-variance efficiency tests with a known normalized distribution -- 4. Mean-variance efficiency tests with an incompletely specificed error distribution -- 5. Exact diagnostic checks -- 6. Empirical analysis -- 7. Conclusion -- A. Appendix: finite-sample distributional theory -- B: Monte Carlo tests.
Tipo de ítem | Biblioteca actual | Signatura topográfica | URL | Estado | Fecha de vencimiento | Código de barras | |
---|---|---|---|---|---|---|---|
Documento | Biblioteca Manuel Belgrano | F 332.0414 B 20591 F (Navegar estantería(Abre debajo)) | Enlace al recurso | Disponible | 20591 F |
Bibliografía: p. 28-32.
1. Introduction -- 2. Framework -- 3. Mean-variance efficiency tests with a known normalized distribution -- 4. Mean-variance efficiency tests with an incompletely specificed error distribution -- 5. Exact diagnostic checks -- 6. Empirical analysis -- 7. Conclusion -- A. Appendix: finite-sample distributional theory -- B: Monte Carlo tests.
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