Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors: an exact simulation-based approach
Article Abstract:
A series of finite-sample conditional and unconditional multivariate mean-variance efficiency tests for capital asset pricing models is developed and proposed. The Gaussian assumption is rejected, temporal instabilities are seen, and mean-variance efficiency is rejected over many sub periods.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
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Volatility forecasting with range-based EGRACH models
Article Abstract:
Effective framework for evaluating volatility in generalized auto regressive conditional heteroscedasticity models is presented.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
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Simulation methods for Levy-Driven continuous-time auto regressive moving average (CARMA) stochastic volatility models
Article Abstract:
A new simulation scheme for using continuous-time auto regressive average stochastic volatility models is presented.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
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