A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted. Under high level restrictions, the resulting estimator...

We obtain semiparametric efficiency bounds for the estimation of a location parameter in a time series model where the innovations are stationary and ergodic, conditionally symmetric martingale differences but otherwise possess general dependence and distributions of unknown form. We then...

We develop new tests of the capital asset pricing model (CAPM) that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric...