A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction
We estimate the CAPM model on European stock market data, allowing for asymmetric and fat-tailed return distributions using independent and identically asymmetric power distributed (IIAPD) innovations. The results indicate that the generalized CAPM with IIAPD errors has desirable properties. It is s...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/104240 http://hdl.handle.net/10220/48608 |
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| Institution: | Nanyang Technological University |
| Language: | English |