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Hypothesis of Normality in the Context of the Market Model
Volume 12, Issue 4 (2001), pp. 491–500
Susana Alvarez   Samuel Baixauli  

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https://doi.org/10.3233/INF-2001-12401
Pub. online: 1 January 2001      Type: Research Article     

Received
1 September 2001
Published
1 January 2001

Abstract

This paper discusses the normality assumption of the market model errors, conventionally accepted. Some other possible specifications are proposed and their performance is testing using a test statistic based on the empirical distribution function of the residuals of the model and assuming that the null distribution can depend on some unknown parameters. The parametric bootstrap method is used. Empirical evidence is provided using a sample of thirty companies of the Spanish Stock Market.

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Keywords
market model test statistics based on the empirical distribution function parametric bootstrap

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INFORMATICA

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