-
1
-
-
33845396021
-
-
Department of Statistics and Econometrics and Department of Business Economics, Universidad Carlos III de Madrid, Working Paper No. 97-23
-
Aparacio, F. and Estrada, J. (1997) Empirical distributions of stock returns: European securities markets, 1990-95. Department of Statistics and Econometrics and Department of Business Economics, Universidad Carlos III de Madrid, Working Paper No. 97-23.
-
(1997)
Empirical Distributions of Stock Returns: European Securities Markets, 1990-95
-
-
Aparacio, F.1
Estrada, J.2
-
3
-
-
0000699975
-
A comparison of stable and student distributions as statistical models for stock prices
-
Blattberg, R. and Gonedes, N. (1974) A comparison of stable and student distributions as statistical models for stock prices, Journal of Business, 47, 244-80.
-
(1974)
Journal of Business
, vol.47
, pp. 244-280
-
-
Blattberg, R.1
Gonedes, N.2
-
4
-
-
0001496109
-
A general distribution for describing security price returns
-
Bookstaber, R. and McDonald, J. (1987) A general distribution for describing security price returns, Journal of Business, 60, 401-24.
-
(1987)
Journal of Business
, vol.60
, pp. 401-424
-
-
Bookstaber, R.1
McDonald, J.2
-
5
-
-
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, 41, 135-55.
-
(1973)
Econometrica
, vol.41
, pp. 135-155
-
-
Clark, P.1
-
6
-
-
0002528209
-
The behaviour of stock market prices
-
Fama, E. (1965) The behaviour of stock market prices, Journal of Business, 38, 34-105.
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, E.1
-
7
-
-
84978596272
-
Empirical comparisons of distributional models for stock index returns
-
Gray, J. B. and French, D. (1990) Empirical comparisons of distributional models for stock index returns, Journal of Business Finance & Accounting, 17, 451-59.
-
(1990)
Journal of Business Finance & Accounting
, vol.17
, pp. 451-459
-
-
Gray, J.B.1
French, D.2
-
8
-
-
0001619086
-
Autoregressive conditional density estimation
-
Hansen, B. (1994) Autoregressive conditional density estimation, International Economic Review, 35, 705-30.
-
(1994)
International Economic Review
, vol.35
, pp. 705-730
-
-
Hansen, B.1
-
9
-
-
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, 77, 29-39.
-
(1982)
Journal of the American Statistical Association
, vol.77
, pp. 29-39
-
-
Hsu, D.1
-
10
-
-
0003426437
-
-
(November), International Finance Corporation, Washington DC
-
IFC (1999) Emerging Stock Markets Review (November), International Finance Corporation, Washington DC.
-
(1999)
Emerging Stock Markets Review
-
-
-
11
-
-
21844481870
-
Alternative models for the conditional heteroscedasticity of stock returns
-
Kim, D. and Kon, S. (1994) Alternative models for the conditional heteroscedasticity of stock returns, Journal of Business, 67, 563-98.
-
(1994)
Journal of Business
, vol.67
, pp. 563-598
-
-
Kim, D.1
Kon, S.2
-
12
-
-
84944833166
-
Models of stock returns - A comparison
-
Kon, S. (1984) Models of stock returns - a comparison, Journal of Finance, 39, 147-65.
-
(1984)
Journal of Finance
, vol.39
, pp. 147-165
-
-
Kon, S.1
-
13
-
-
0001504360
-
The variation of certain speculative prices
-
Mandelbrot, B. (1963) The variation of certain speculative prices, Journal of Business, 36, 394-419.
-
(1963)
Journal of Business
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.1
-
14
-
-
70350342861
-
Probability distributions for financial models
-
Maddala, G. S. and Rao, C. R. (eds)
-
McDonald, J. (1996) Probability distributions for financial models. In Maddala, G. S. and Rao, C. R. (eds), Handbook of Statistics, Vol. 14, pp. 427-61.
-
(1996)
Handbook of Statistics
, vol.14
, pp. 427-461
-
-
McDonald, J.1
-
15
-
-
84974220416
-
Partially adaptive estimation of regression models via the generalised t distribution
-
McDonald, J. and Newey, W. (1988) Partially adaptive estimation of regression models via the generalised t distribution, Economic Theory, 4, 428-57.
-
(1988)
Economic Theory
, vol.4
, pp. 428-457
-
-
McDonald, J.1
Newey, W.2
-
16
-
-
43149089991
-
A generalisation of the beta distribution with applications
-
McDonald, J. and Xu, Y. (1995) A generalisation of the beta distribution with applications, Journal of Econometrics, 66, 133-52.
-
(1995)
Journal of Econometrics
, vol.66
, pp. 133-152
-
-
McDonald, J.1
Xu, Y.2
-
18
-
-
84963254917
-
The distribution of stock returns: International evidence
-
Peiró, A (1994) The distribution of stock returns: international evidence, Applied Financial Economics, 4, 431-39.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 431-439
-
-
Peiró, A.1
-
19
-
-
0005832669
-
Skewness in financial returns
-
Peiró, A (1999) Skewness in financial returns, Journal of Banking and Finance, 23, 847-62.
-
(1999)
Journal of Banking and Finance
, vol.23
, pp. 847-862
-
-
Peiró, A.1
-
20
-
-
0002370531
-
The distribution of share price changes
-
Praetz, P. (1972) The distribution of share price changes, Journal of Business, 45, 49-55.
-
(1972)
Journal of Business
, vol.45
, pp. 49-55
-
-
Praetz, P.1
-
21
-
-
0000996594
-
A compound events model for security prices
-
Press, S. (1967) A compound events model for security prices, Journal of Business, 40, 317-35.
-
(1967)
Journal of Business
, vol.40
, pp. 317-335
-
-
Press, S.1
-
23
-
-
0032301238
-
Financial data and the skewed generalised-t distribution
-
Theodossiou, P. (1998) Financial data and the skewed generalised-t distribution, Management Science, 44, 1650-61.
-
(1998)
Management Science
, vol.44
, pp. 1650-1661
-
-
Theodossiou, P.1
-
24
-
-
0002644952
-
Maximum likelihood estimation of misspecified models
-
White, H. (1982) Maximum likelihood estimation of misspecified models, Econometrica, 50, 1-25.
-
(1982)
Econometrica
, vol.50
, pp. 1-25
-
-
White, H.1
|