Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions

Beaulieu, M.-C. (Marie-Claude), Dufour, J.-M. (Jean-Marie) and L. Khalaf (Lynda A.)

2010-09-01

Journal of Empirical Finance , Volume 17 - Issue 4 p. 763- 782

Additional Metadata
Keywords	Asset pricing models, Bootstrap, Diagnostics, Exact test, GARCH, Mean-variance spanning, Monte Carlo test, Multifactor model, Multivariate linear regression, Non-normality, Specification test, Variance ratio test.
Persistent URL	dx.doi.org/10.1016/j.jempfin.2010.03.001
Journal	Journal of Empirical Finance
Organisation	Department of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Beaulieu, M.-C. (Marie-Claude), Dufour, J.-M. (Jean-Marie), & Khalaf, L. (2010). Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions. Journal of Empirical Finance, 17(4), 763–782. doi:10.1016/j.jempfin.2010.03.001

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