Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

A Document Browsing Tool Based on Book Indexes

This research project is a contribution to the global field of information retrieval, specifically, to develop tools to enable information access in digital documents. We recognize the need to provide the user with flexible access to the contents of large, potentially complex digital documents, with means other than a search function or a handful of metadata elements. The goal is to produce a text browsing tool offering a maximum of information based on a fairly superficial linguistic analysis. We are concerned with a type of extensive single-document indexing, and not indexing by a set of keywords (see Klement, 2002, for a clear distinction between the two). The desired browsing tool would not only give at a glance the main topics discussed in the document, but would also present relationships between these topics. It would also give direct access to the text (via hypertext links to specific passages). The present paper, after reviewing previous research on this and similar topics, discusses the methodology and the main characteristics of a prototype we have devised. Experimental results are presented, as well as an analysis of remaining hurdles and potential applications.

Une analyse des revues indexées dans le KLAPP (Bibliographie d'histoire littéraire française)

Résultats préliminaires d'un projet de comparaison des deux plus importants répertoires bibliographiques spécialisés en littératures de langue française (accessibles sous forme de bases de données bibliographiques en ligne depuis 2014) : la « Bibliographie de la littérature française » (« Bibliographie der französischen Literaturwissenschaft » ou « KLAPP »), publiée chez Klostermann depuis 1956, et la « Bibliographie de la littérature française » (ou « Rancoeur », précédemment intitulée « Bibliographie de la littérature française), publiée depuis 1953 chez Armand Colin et aux Presses universitaires de France (sous forme de hors-série annuel de la « Revue d'histoire littéraire de la France ») puis chez Classiques Garnier.