Some problems with modelling asset returns using the elliptical class
The suitability of the elliptical distribution to model asset returns in applied work is examined. Two frameworks are identified: the first framework allows for normality testing but fails to capture the GARCH effect present in the data; the second framework captures the GARCH effect but has the disadvantage that all commonly used tests for normality have minimum power.
Year of publication: |
1996
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Authors: | Eftekhari, Babak ; Satchell, Stephen |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 3.1996, 9, p. 571-572
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Publisher: |
Taylor & Francis Journals |
Saved in:
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