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
Citation
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