Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-22
In this paper, we consider asset pricing models under the multivariate t-distribution with finite second moment. Such a … asset pricing models, with an emphasis on the Capital Asset Pricing Model (CAPM). An extension of the CAPM, the Multifactor … Asset Pricing Model (MAPM), is also discussed. A simple algorithm to estimate the model parameters, including the kurtosis …