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- W81781890 abstract "Much of the theory of modern finance is based on the assumption that returns follow a multivariate normal distribution. It continues to be widely used mainly for its convenience and tractability despite the growing body of research that suggests that returns on financial assets have distributions with fat tails. Since 1982, there have been many papers which model fat tails using versions and/or developments of the ARCH family of models. More recently, several empirical studies have provided support for the idea that returns on a financial asset follow a Student’s t distribution. However, to date the majority, although not all, of this work has been univariate in nature." @default.
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- W81781890 date "2000-01-01" @default.
- W81781890 modified "2023-09-27" @default.
- W81781890 title "Fat Tails and the Capital Asset Pricing Model" @default.
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- W81781890 doi "https://doi.org/10.1007/978-1-4615-4389-3_2" @default.
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