Robust Inference in the Capital Asset Pricing Model Using the Multivariate <i>t</i>-Distribution

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...

Full description

Bibliographic Details
Main Authors: Manuel Galea, David Cademartori, Roberto Curci, Alonso Molina
Format: Article
Language:English
Published: MDPI AG 2020-06-01
Series:Journal of Risk and Financial Management
Subjects:
capital asset pricing model
estimation of systematic risk
tests of mean-variance efficiency
t-distribution
generalized method of moments
multifactor asset pricing model
Online Access:https://www.mdpi.com/1911-8074/13/6/123

Internet

https://www.mdpi.com/1911-8074/13/6/123

Similar Items