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Multivariate tests of mean variance efficiency with possibly non gaussian errors: an exact simulation based approach

Beaulieu, Marie Claude et al.

Multivariate tests of mean variance efficiency with possibly non gaussian errors: an exact simulation based approach J7992 2007 - 2007 - 398-410 V. 25 Issue. 4

Subjects--Topical Terms:
Economic Statistics

Subjects--Index Terms: Bootstrap;Capital asset pricing model;Generalized autoregressive conditional heteroscedasticity;Monte carlo test;Multivariate linear regression;Nonnormality;

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