Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/123, pp. 1-22
In this paper, we consider asset pricing models under the multivariate t-distribution with finite second moment. Such a distribution, which contains the normal distribution, offers a more flexible framework for modeling asset returns. The main objective of this work is to develop statistical...
