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

Multivariate residual-based finite-sampl

Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models

✍ Jean-Marie Dufour; Lynda Khalaf; Marie-Claude Beaulieu 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 188 KB

## Abstract In this paper, we propose several finite‐sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with possibly non‐Gaussian errors. The tests are based on properly standardized multivariate residuals to ensure invari