ASSET PRICING
Wednesday 28th August 2002,
09:30 - 11:00
Room: 5.4
Session Chair(s):
Andrew Patton, University of California, San Diego, UNITED STATES
Category: Econometrics
AN EX-ANTE EXAMINATION OF THE EQUITY PREMIUM
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Presenter(s): |
mark kamstra, Federal Reserve Bank of Atlanta, UNITED STATES |
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Co-Author(s): |
Glen Donaldson, UBC, CANADA and Lisa Kramer, University of Toronto, CANADA |
TESTING THE CAPM IN POSSIBLY NON-GAUSSIAN CONTEXTS: AN EXACT SIMULATION-BASED APPROACH
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Presenter(s): |
Lynda Khalaf, GREEN, Universite Laval, CANADA |
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Co-Author(s): |
Marie-Claude Beaulieu, CREFA, Departement de finance et assurance, Universite Laval, , CANADA and Jean-Marie Dufour , CRDE, CIRANO and Universite de Montreal. , CANADA |
ON THE IMPORTANCE OF SKEWNESS AND ASYMMETRIC DEPENDENCE IN STOCK RETURNS FOR ASSET ALLOCATION
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Presenter(s): |
Andrew Patton, University of California, San Diego, UNITED STATES |
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Co-Author(s): |
none |
EFFICIENCY TESTS OF THE FRENCH INDEX (CAC 40) OPTIONS MARKET
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Presenter(s): |
Gunther Capelle-Blancard, TEAM Université Paris I Panthéon-Sorbonne and CNRS, FRANCE |
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Co-Author(s): |
Mo Chaudhury , McGill University, CANADA |
Total Papers in This session: 4
Session Ref: 483
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