9
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Some problems with modelling asset returns using the elliptical class

Pages 571-572 | Published online: 05 Oct 2010

References

  • Bollerslev , T. , Chou , R. Y. and Kroner , K. F. 1992 . ARCH modelling in finance: a review of theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
  • Chu , K-C. 1973 . Estimation and decision for linear systems with elliptical random precesses . IEEE Transaction on Automatic Control , : 499 – 505 .
  • Ingersoll , J. E. 1987 . Theory of Financial Decision Making , Maryland : Rowman & Littlefield .
  • Satchell , S. E. 1995 . “ Elliptical distributions and GARCH models of volatility, financial economics ” . In Discussion Paper , Birkbeck College, University of London .
  • Shapiro , S. S. and Francia , R. S. 1972 . An approximate analysis of variance test for normality . Journal of the American Statistical Association , 67 : 215 – 216 .
  • Shapiro , S. S. and Wilk , M. B. 1965 . An analysis of variance test for normality (complete samples) . Biometrica , 52 : 591 – 611 .
  • Zhou , G. 1993 . Asset-pricing tests under alternative distributions . Journal of Finance , 48 : 1927 – 1942 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.