A simple test of misspecification for linear asset pricing models

JOURNAL ARTICLE published 22 February 2024 in Financial Markets and Portfolio Management

Authors: Antoine Giannetti

The likelihood ratio test statistic of mean-variance efficiency without a riskless asset

JOURNAL ARTICLE published December 1984 in Journal of Financial Economics

Authors: Shmuel Kandel

A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface

JOURNAL ARTICLE published 19 November 2020 in Journal of Risk and Financial Management

Authors: Yixiao Jiang

Time-varying risk components in the single-factor market model: an exact most powerful invariant test

JOURNAL ARTICLE published September 2004 in Applied Financial Economics

Authors: Philip A. Shively

Bank stockholders’ vs bank bondholders’ market discipline during crisis time: an investigation based on supervisory stress test information disclosure

JOURNAL ARTICLE published 22 November 2021 in Journal of Financial Economic Policy

Authors: Moustapha Daouda Dala

Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test

BOOK CHAPTER published 1999 in Dynamic Modeling and Econometrics in Economics and Finance

Authors: Philip Rothman