Robust Inference in the Capital Asset Pricing Model Using the Multivariate <i>t</i>-Distribution
In this paper, we consider asset pricing models under the multivariate <i>t</i>-distribution with finite second moment. Such a distribution, which contains the normal distribution, offers a more flexible framework for modeling asset returns. The main objective of this work is to develop...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-06-01
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Series: | Journal of Risk and Financial Management |
Subjects: | |
Online Access: | https://www.mdpi.com/1911-8074/13/6/123 |