-
1
-
-
0005773686
-
Empirical distributions of stock returns: European securities markets, 1990-95
-
Aparicio, F. and J. Estrada (2001), 'Empirical Distributions of Stock Returns: European Securities Markets, 1990-95', European Journal of Finance, Vol. 7, pp. 1-21.
-
(2001)
European Journal of Finance
, vol.7
, pp. 1-21
-
-
Aparicio, F.1
Estrada, J.2
-
4
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F. and M. Scholes (1973), 'The Pricing of Options and Corporate Liabilities, ' Journal of Political Economy, Vol. 81, pp. 637-59.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-659
-
-
Black, F.1
Scholes, M.2
-
5
-
-
0000699975
-
A comparison of stable and student distributions as statistical models for stock prices
-
Blattberg, R. and N. Gonedes (1974), 'A Comparison of Stable and Student Distributions as Statistical Models for Stock Prices', Journal of Business, Vol. 47, pp. 244-80.
-
(1974)
Journal of Business
, vol.47
, pp. 244-280
-
-
Blattberg, R.1
Gonedes, N.2
-
6
-
-
0001496109
-
A general distribution for describing security price returns
-
Bookstaber, R. and J. McDonald (1987), 'A General Distribution for Describing Security Price Returns', Journal of Business, Vol. 60, pp. 401-24.
-
(1987)
Journal of Business
, vol.60
, pp. 401-424
-
-
Bookstaber, R.1
Mcdonald, J.2
-
7
-
-
0009713512
-
An intertemporal asset pricing model with stochastic consumption and investment opportunities
-
Breeden, D. (1979), 'An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities, ' Journal of Financial Economics, Vol. 7, pp. 265-96.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 265-296
-
-
Breeden, D.1
-
8
-
-
0000346734
-
A subordinated stochastic process model with finite variance for speculative prices
-
Clark, P. (1973), 'A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices', Econometrica, Vol. 41, pp. 135-55.
-
(1973)
Econometrica
, vol.41
, pp. 135-155
-
-
Clark, P.1
-
9
-
-
0002528209
-
The behaviour of stock market prices
-
Fama, E. (1965), 'The Behaviour of Stock Market Prices', Journal of Business, Vol. 38, pp. 34-105.
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, E.1
-
10
-
-
84978596272
-
Empirical comparisons of distributional models for stock index returns
-
Gray, J.B. and D.W. French (1990), 'Empirical Comparisons of Distributional Models for Stock Index Returns', Journal of Business Finance & Accounting, Vol. 17, No. 3, pp. 451-59.
-
(1990)
Journal of Business Finance & Accounting
, vol.17
, Issue.3
, pp. 451-459
-
-
Gray, J.B.1
French, D.W.2
-
12
-
-
0001619086
-
Autoregressive conditional density estimation
-
Hansen, B. (1994), 'Autoregressive Conditional Density Estimation', International Economic Review, Vol. 35, pp. 705-30.
-
(1994)
International Economic Review
, vol.35
, pp. 705-730
-
-
Hansen, B.1
-
13
-
-
0002746720
-
A bayesian robust detection of shift in the risk structure of stock market returns
-
Hsu, D. (1982), 'A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns', Journal of the American Statistical Association, Vol. 77, pp. 29-39.
-
(1982)
Journal of the American Statistical Association
, vol.77
, pp. 29-39
-
-
Hsu, D.1
-
14
-
-
21844481870
-
Alternative models for the conditional heteroscedasticity of stock returns
-
Kim, D. and S. Kon (1994), 'Alternative Models for the Conditional Heteroscedasticity of Stock Returns', Journal of Business, Vol. 67, pp. 563-98.
-
(1994)
Journal of Business
, vol.67
, pp. 563-598
-
-
Kim, D.1
Kon, S.2
-
15
-
-
84944833166
-
Models of stock returns- A comparison
-
Kon, S. (1984), 'Models of Stock Returns-A Comparison', Journal of Finance, Vol. 39, pp. 147-65.
-
(1984)
Journal of Finance
, vol.39
, pp. 147-165
-
-
Kon, S.1
-
16
-
-
0000150312
-
Asset prices in an exchange economy
-
Lucas, R. (1978), 'Asset Prices in an Exchange Economy, ' Econometrica, Vol. 46, pp. 1429-46.
-
(1978)
Econometrica
, vol.46
, pp. 1429-1446
-
-
Lucas, R.1
-
17
-
-
0001504360
-
The variation of certain speculative prices
-
Mandelbrot, B. (1963), 'The Variation of Certain Speculative Prices', Journal of Business, Vol. 36, pp. 394-419.
-
(1963)
Journal of Business
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.1
-
18
-
-
84995186518
-
Portfolio selection
-
Markowitz, H. (1952), 'Portfolio Selection', Journal of Finance, Vol. 7, pp. 77-91.
-
(1952)
Journal of Finance
, vol.7
, pp. 77-91
-
-
Markowitz, H.1
-
19
-
-
70350342861
-
Probability distributions for financial models
-
G.S. Maddala and C.R. Rao (eds.)
-
McDonald, J. (1996), 'Probability Distributions for Financial Models', in G.S. Maddala and C.R. Rao (eds.), Handbook of Statistics, Vol. 14, pp. 427-61.
-
(1996)
Handbook of Statistics
, vol.14
, pp. 427-461
-
-
McDonald, J.1
-
20
-
-
84974220416
-
Partially adaptive estimation of regression models via the generalised T distribution
-
- and W. Newey (1988), 'Partially Adaptive Estimation of Regression Models via the Generalised T Distribution', Econometric Theory, Vol. 4, pp. 428-57.
-
(1988)
Econometric Theory
, vol.4
, pp. 428-457
-
-
Newey, W.1
-
21
-
-
43149089991
-
A generalisation of the beta distribution with applications
-
- and Y. Xu (1995), 'A Generalisation of the Beta Distribution with Applications', Journal of Econometrics, Vol. 66, pp. 133-52.
-
(1995)
Journal of Econometrics
, vol.66
, pp. 133-152
-
-
Xu, Y.1
-
22
-
-
0001738730
-
An intertemporal asset pricing model
-
Merton, R. (1973), 'An Intertemporal Asset Pricing Model, Econometrica, Vol. 41, pp. 867-87.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.1
-
23
-
-
0001238604
-
Equilibrium in a capital asset market
-
Mossin, J. (1966), 'Equilibrium in a Capital Asset Market', Econometrica, Vol. 34, pp. 768-83.
-
(1966)
Econometrica
, vol.34
, pp. 768-783
-
-
Mossin, J.1
-
25
-
-
84963254917
-
The distribution of stock returns: International evidence
-
Peiró, A. (1994), 'The Distribution of Stock Returns: International Evidence', Applied Financial Economics, Vol. 4, pp. 431-39.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 431-439
-
-
Peiró, A.1
-
26
-
-
0005832669
-
Skewness in financial returns
-
- (1999), 'Skewness in Financial Returns', Journal of Banking and Finance, Vol. 23, pp. 847-62.
-
(1999)
Journal of Banking and Finance
, vol.23
, pp. 847-862
-
-
-
27
-
-
0002370531
-
The distribution of share price changes
-
Praetz, P. (1972), 'The Distribution of Share Price Changes', Journal of Business, Vol. 45, pp. 49-55.
-
(1972)
Journal of Business
, vol.45
, pp. 49-55
-
-
Praetz, P.1
-
28
-
-
0000996594
-
A compound events model for security prices
-
Press, S. (1967), 'A Compound Events Model for Security Prices', Journal of Business, Vol. 40, pp. 317-35.
-
(1967)
Journal of Business
, vol.40
, pp. 317-335
-
-
Press, S.1
-
29
-
-
84980092818
-
Capital asset prices: A theory of market equilibrium under conditions of risk
-
Sharpe, W. (1964), 'Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk', Journal of Finance, Vol. 19, pp. 425-42.
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.1
-
31
-
-
0032301238
-
Financial data and the skewed generalised-t distribution
-
Theodossiou, P. (1998), 'Financial Data and the Skewed Generalised-t Distribution', Management Science, Vol. 44, pp. 1650-61.
-
(1998)
Management Science
, vol.44
, pp. 1650-1661
-
-
Theodossiou, P.1
-
32
-
-
0002644952
-
Maximum likelihood estimation of misspecified models
-
White, H. (1982), 'Maximum Likelihood Estimation of Misspecified Models', Econometrica, Vol. 50, pp. 1-25.
-
(1982)
Econometrica
, vol.50
, pp. 1-25
-
-
White, H.1
|