The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Capital market research usually focuses on the investment decision of a risk-averse investor, who determines the relationship between risky assets and risk-free investment. Furthermore, numerous capital market models assume normally distributed security returns and rational investors. In this...