The multivariate normality of stock returns is a crucial assumption in many tests of assets pricing models. While past Australian research has examined the univariate normality of returns, univariate test statistics are unreliable for testing multivariate normality since they ignore the contemporaneous correlation between asset returns. This paper utilises a multivariate test procedure, based o...

Abstract. The system of weak normality equations constitutes a part in the complete system of normality equations. Solutions of each of these two systems of equations are associated with some definite classes of Newtonian dynamical systems in Riemannian manifolds. In this paper for the case of simplest flat Riemannian manifold M = R with n> 3 we show that there exist solutions of weak normality...

The asymptotic behavior of the eigenvalues of a sample covariance matrix is described when the observations are from a zero mean multivariate (real or complex) normal distribution whose covariance matrix has population eigenvalues of arbitrary multiplicity. In particular, the asymptotic normality of the fluctuation in the trace of powers of the sample covariance matrix from the limiting quantit...