Galea, Manuel; Cademartori, David; Vilca, Filidor - In: Journal of Applied Statistics 37 (2010) 12, pp. 1979-1990
In this paper we consider Sharpe's single-index model or Sharpe's model, by assuming that the returns obtained follow a multivariate t elliptical distribution. Also, given that the returns of the market are not observable, the statistical analysis was made in the context of an...