Stylized facts on the temporal and distributional properties of daily FT-SE returns

Applied Financial Economics

Volumn 7, Issue 6, 1997, Pages 599-604

  Mills, Terence C ^a  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0342775570     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/758533851     Document Type: Article

References (10)

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2. Granger, C. W. J. and Ding, Z. (1993) Some properties of absolute return: an alternative measure of risk, USCD Economics Department, Discussion Paper 93-38.
3. Granger, C. W. J. and Ding, Z. (1994) Stylized facts on the temporal and distributional properties of daily data from speculative markets, mimeo, University of California, San Diego.
4. Hamao, Y., Masulis, R. W. and Ng, V. (1990) Correlation in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281-307.
5. Ljung, G. M. and Box, G. E. P. (1978) On a measure of lack of fit in time series models, Biometrika, 65, 297-303.
6. Luce, R. D. (1980) Several possible measures of risk, Theory and Decision, 12, 217-28.
7. Mills, T. C. (1995) Modelling skewness and kurtosis in the London Stock Exchange FT-SE return distributions, The Statistician, 44, 323-32.
8. Mills, T. C. and Coutts, J. A. (1995) Calendar effects in the London Stock Exchange FT-SE indices, European Journal of Finance, 1 (1), 79-93.
9. Pollatsek, A. and Tversky, A. (1970) A theory of risk, Journal of Mathematical Psychology, 7, 540-53.
10. Taylor, S. J. (1986) Modelling Financial Time Series, Wiley, New York.