Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors PDF Download
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Author: Marie-Claude Beaulieu
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
In this paper we propose exact likelihood-based mean-variance efficiency tests of theIn diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz-
Author: Marie-Claude Beaulieu
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
In this paper we propose exact likelihood-based mean-variance efficiency tests of theIn diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz-
Author: J M. Dufour
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 32
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Author: Marie-Claude Beaulieu
Publisher:
ISBN: 9783935821421
Category :
Languages : en
Pages : 37
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Author:
Publisher: Elsevier
ISBN: 0444643125
Category : Mathematics
Languages : en
Pages : 332
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Book Description
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. - Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society - Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
Author: Michèle Breton
Publisher: Springer Science & Business Media
ISBN: 0387251189
Category : Business & Economics
Languages : en
Pages : 268
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Book Description
GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.
Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 630
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Author: Deutsche Bundesbank
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 472
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Book Description
Author: Arnold Zellner
Publisher: Wiley-Interscience
ISBN: 9780471169376
Category : Mathematics
Languages : en
Pages : 0
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Book Description
This is a classical reprint edition of the original 1971 edition of An Introduction to Bayesian Inference in Economics. This historical volume is an early introduction to Bayesian inference and methodology which still has lasting value for today's statistician and student. The coverage ranges from the fundamental concepts and operations of Bayesian inference to analysis of applications in specific econometric problems and the testing of hypotheses and models.
Author: Eric Jondeau
Publisher: Springer Science & Business Media
ISBN: 1846286964
Category : Mathematics
Languages : en
Pages : 541
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Book Description
This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 154
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Book Description
