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Some problems with modelling asset returns using the elliptical class

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  • Babak Eftekhari
  • Stephen Satchell

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.

Suggested Citation

  • Babak Eftekhari & Stephen Satchell, 1996. "Some problems with modelling asset returns using the elliptical class," Applied Economics Letters, Taylor & Francis Journals, vol. 3(9), pages 571-572.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:9:p:571-572
    DOI: 10.1080/135048596355970
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    Cited by:

    1. Hanen Ben Salah & Jan G. Gooijer & Ali Gannoun & Mathieu Ribatet, 2018. "Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 419-436, November.

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