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Volumn 11, Issue 2, 2004, Pages 81-86

Empirical asset return distributions: Is chaos the culprit?

Author keywords

[No Author keywords available]

Indexed keywords

COMMODITY MARKET; TESTING METHOD; TIME SERIES;

EID: 1542546305     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485042000200150     Document Type: Article
Times cited : (10)

References (15)
  • 1
    • 0035398970 scopus 로고    scopus 로고
    • Chaos in oil prices? Evidence from futures markets
    • Adrangi, A., Kanwalroop, K. K. and Raffiee, K. (2001) Chaos in oil prices? Evidence from futures markets, Energy Economic, 23, 405-25.
    • (2001) Energy Economic , vol.23 , pp. 405-425
    • Adrangi, A.1    Kanwalroop, K.K.2    Raffiee, K.3
  • 2
    • 0017295261 scopus 로고
    • The expected value of the adjusted rescaled hurst range of independent normal summands
    • Anis, A. A. and Lloyd, E. H. (1976) The expected value of the Adjusted Rescaled Hurst range of independent normal summands, Biometrika, 63, 111-6.
    • (1976) Biometrika , vol.63 , pp. 111-116
    • Anis, A.A.1    Lloyd, E.H.2
  • 7
    • 84977719043 scopus 로고
    • Chaos and non-linear dynamics: Application to financial markets
    • Hsieh, D. A. (1991) Chaos and non-linear dynamics: application to financial markets, Journal of Finance, 46, 1839-77.
    • (1991) Journal of Finance , vol.46 , pp. 1839-1877
    • Hsieh, D.A.1
  • 9
    • 0000140166 scopus 로고
    • Long-term memory in stock market prices
    • Lo, A. W. (1991) Long-term memory in stock market prices, Econometrica, 59, 1279-313.
    • (1991) Econometrica , vol.59 , pp. 1279-1313
    • Lo, A.W.1
  • 10
    • 0035193406 scopus 로고    scopus 로고
    • Non-periodic Australian stock market cycles: Evidence from rescaled range analysis
    • McKenzie, D. (2001) Non-periodic Australian stock market cycles: evidence from rescaled range analysis, Economic Record, 77, 393-406.
    • (2001) Economic Record , vol.77 , pp. 393-406
    • McKenzie, D.1
  • 12
    • 84958363567 scopus 로고
    • Modelling asset returns with alternative stable distributions
    • Mittnik, S. and Rachev, S. T. (1993b) Modelling asset returns with alternative stable distributions, Econometric Reviews, 12, 261-330.
    • (1993) Econometric Reviews , vol.12 , pp. 261-330
    • Mittnik, S.1    Rachev, S.T.2
  • 13
    • 0004341962 scopus 로고    scopus 로고
    • The behaviour of some UK equity indices, an application of hurst and BDS tests
    • Opong, K., Mullholland, G., Fox, A. and Farahmand, K. (1999) The behaviour of some UK equity indices, an application of hurst and BDS tests, Journal of Emperical Finance, 6, 267-82.
    • (1999) Journal of Emperical Finance , vol.6 , pp. 267-282
    • Opong, K.1    Mullholland, G.2    Fox, A.3    Farahmand, K.4
  • 15
    • 0042597353 scopus 로고    scopus 로고
    • Non-linear dynamics in foreign exchange rates
    • Wagner, J. and Mahajan, A. (1999) Non-linear dynamics in foreign exchange rates, Global Finance Journal, 10(1), 1-23.
    • (1999) Global Finance Journal , vol.10 , Issue.1 , pp. 1-23
    • Wagner, J.1    Mahajan, A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.