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Keywords: Normality
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Journal Articles
Modeling non-normality using multivariate t: implications for asset pricing
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (1): 2–32.
Published: 20 February 2017
...Raymond Kan; Guofu Zhou Purpose The purpose of this paper is to show that multivariate t-distribution assumption provides a better description of stock return data than multivariate normality assumption. Design/methodology/approach The EM algorithm is applied to solve the statistical...
