Mcdonald, James; Michelfelder, Richard; Theodossiou, … - In: Quantitative Finance 10 (2010) 4, pp. 375-387
The distributions of stock returns and capital asset pricing model (CAPM) regression residuals are typically characterized by skewness and kurtosis. We apply four flexible probability density functions (pdfs) to model possible skewness and kurtosis in estimating the parameters of the CAPM and...