A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the...

The statistical properties of daily closing futures prices for nine commodities are studied. Two hypotheses are examined: Price changes are normally distributed, and prices follow a random walk process. Normality is tested by estimating kurtosis, the R/S statistic, and characteristic exponents....