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Bank of Canada RSS Feedsen2024-03-28T08:55:52+00:00Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
https://www.bankofcanada.ca/2013/05/working-paper-2013-16/
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.2013-05-29T13:00:05+00:00enMultivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances2013-05-29Asset pricingEconometric and statistical methodsFinancial marketsWorking Paper 2013-16https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-16.pdfMultivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying CovariancesSermin GungorRichard LugerMay 2013CC1C12C15C3C33GG1G11G12