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.

Canada, Product information, Testing, Multivariate analysis, Monte Carlo method, Monte Carlo methods, Capital assets pricing model, Capital asset pricing model, Report

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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.

Evaluation

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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.

Models, Analysis, Stochastic analysis

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