SOME PROBLEMS WITH MODELING ASSET RETURNS USING THE ELLIPTIC CLASS

Citation
B. Eftekhari et Se. Satchell, SOME PROBLEMS WITH MODELING ASSET RETURNS USING THE ELLIPTIC CLASS, Applied economics letters, 3(9), 1996, pp. 571-572
Citations number
7
Categorie Soggetti
Economics
Journal title
ISSN journal
13504851
Volume
3
Issue
9
Year of publication
1996
Pages
571 - 572
Database
ISI
SICI code
1350-4851(1996)3:9<571:SPWMAR>2.0.ZU;2-4
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 ef fect but has the disadvantage that all commonly used tests for normali ty have minimum power.