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Original Articles

Some problems with modelling asset returns using the elliptical class

Pages 571-572 | Published online: 05 Oct 2010
 

Abstract

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 disadvantage that all commonly used tests for normality have minimum power.

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