Richard Luger
Biographic Data
| ID | 8920200 |
|---|---|
| NAME | Richard Luger |
| GIVEN NAMES | Richard |
| FAMILY NAME | Luger |
| SIGNATURE | LUGER R |
| AFFILIATIONS | Department of Finance, Insurance and Real Estate, Laval University, Quebec City, G1V 0A6, Quebec, Canada |
| ORCID | 0000-0002-6595-0029 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 2 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2013 |
| LATEST PUBLICATION YEAR | 2016 |
| H-INDEX | 0 |
Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
We develop a finite-sample procedure to test the mean-variance efficiency and spanning hypotheses, without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear regression models. The framework allows for unknown forms of nonnormalities as well as time-varying conditional variances and covariances among the…
Testing Linear Factor Pricing Models With Large Cross Sections
In this article, we develop a finite-sample distribution-free procedure to test the beta-pricing representation of linear factor pricing models. In sharp contrast to extant finite-sample tests, our framework allows for unknown forms of nonnormalities, heteroscedasticity, and time-varying covariances. The power of the proposed test procedure increases as the time series lengthens and/or the cross section becomes larger. So the criticism sometimes …
No prominent works on this page.
Testing Linear Factor Pricing Models With Large Cross Sections
In this article, we develop a finite-sample distribution-free procedure to test the beta-pricing representation of linear factor pricing models. In sharp contrast to extant finite-sample tests, our framework allows for unknown forms of nonnormalities, heteroscedasticity, and time-varying covariances. The power of the proposed test procedure increases as the time series lengthens and/or the cross section becomes larger. So the criticism sometimes …
Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
We develop a finite-sample procedure to test the mean-variance efficiency and spanning hypotheses, without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear regression models. The framework allows for unknown forms of nonnormalities as well as time-varying conditional variances and covariances among the…
Econometrics (2 works) · Mathematics (2 works) · Advanced Statistical Methods and Models (1 works) · Autoregressive conditional heteroskedasticity (1 works) · Computer Science (1 works) · Conditional variance (1 works) · Consumer Market Behavior and Pricing (1 works) · Estimator (1 works) · Financial Markets and Investment Strategies (1 works) · Financial Risk and Volatility Modeling (1 works)