Eftekhari, Babak; Satchell, Stephen - In: Applied Economics Letters 3 (1996) 9, pp. 571-572
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...