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Evaluating alternative methods for testing asset pricing models with historical data

✍ Scribed by Martín Lozano; Gonzalo Rubio

Book ID
116641759
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
218 KB
Volume
18
Category
Article
ISSN
0927-5398

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## 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