Galea, Manuel; Diaz-Garcia, Jose; Vilca, Filidor - In: Journal of Applied Statistics 35 (2008) 2, pp. 179-192
In this paper we consider the Capital Asset Pricing Model under Elliptical (symmetric) Distributions. This class of distributions, which contains the normal distribution, t, contaminated normal and power exponential, among others, offers a more flexible framework for modelling asset prices or...