Abstract
The assumptions of independency and normality are not appropriate in many situations of practical interest, especially in modeling financial data from emerging markets. It was pointed out in numerous studies that daily financial data is heavily tail distributed (Blattberg and Gonedes, 1974; Fama, 1976; Engle, 1982; Bollerslev, 1986; Nelson, 1991; Rachev and Mittnik, 2000). These studies proposed to pick up the assumptions of t-distribution, symmetric stable distribution, or the autoregressive conditional heteroskedasticity (ARCH) process instead of normality.
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© 2007 Taras Bodnar and Wolfgang Schmid
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Bodnar, T., Schmid, W. (2007). Matrix Elliptical Contoured Distributions versus a Stable Model: Application to Daily Stock Returns of Eight Stock Markets. In: Gregoriou, G.N. (eds) Asset Allocation and International Investments. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230626515_11
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DOI: https://doi.org/10.1057/9780230626515_11
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