메뉴 건너뛰기




Volumn 14, Issue , 1996, Pages 427-461

14 Probability distributions for financial models

(1)  McDonald, James B a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 70350342861     PISSN: 01697161     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0169-7161(96)14016-5     Document Type: Review
Times cited : (62)

References (84)
  • 4
    • 33747991699 scopus 로고
    • Stochastic dominance and portfolio analysis
    • Ali M.M. Stochastic dominance and portfolio analysis. J. Financ. Econom. 2 (1975) 205-229
    • (1975) J. Financ. Econom. , vol.2 , pp. 205-229
    • Ali, M.M.1
  • 5
    • 0004231080 scopus 로고
    • International Cooperative, Cambridge
    • Arnold B. Pareto Distributions (1983), International Cooperative, Cambridge
    • (1983) Pareto Distributions
    • Arnold, B.1
  • 7
    • 5544244774 scopus 로고
    • On the measurement of inequality
    • Atkinson A.B. On the measurement of inequality. J. Econom. Theory 2 (1970) 244-263
    • (1970) J. Econom. Theory , vol.2 , pp. 244-263
    • Atkinson, A.B.1
  • 8
    • 84941491426 scopus 로고
    • Asymptotic theory of least absolute error regression
    • Basset G., and Koenker R. Asymptotic theory of least absolute error regression. J. Amer.-Statis. Assoc. 73 (1978) 618-622
    • (1978) J. Amer.-Statis. Assoc. , vol.73 , pp. 618-622
    • Basset, G.1    Koenker, R.2
  • 9
    • 0000669828 scopus 로고
    • Asymptotically distribution free statistical inference for generalized Lorenz curves
    • Bishop J.A., Chakraborti S., and Thistle P.D. Asymptotically distribution free statistical inference for generalized Lorenz curves. Rev. Econom. Statist. 71 (1989) 725-727
    • (1989) Rev. Econom. Statist. , vol.71 , pp. 725-727
    • Bishop, J.A.1    Chakraborti, S.2    Thistle, P.D.3
  • 10
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black F., and Scholes M. The pricing of options and corporate liabilities. J. Politic. Econom. 81 (1973) 637-659
    • (1973) J. Politic. Econom. , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 11
    • 0000699975 scopus 로고
    • A comparison of the stable and student distributions as statistical models for stock prices
    • Blattberg R.C., and Gonedes N.J. A comparison of the stable and student distributions as statistical models for stock prices. J. Business 47 (1974) 244-280
    • (1974) J. Business , vol.47 , pp. 244-280
    • Blattberg, R.C.1    Gonedes, N.J.2
  • 12
    • 0001160245 scopus 로고
    • Regression with non-Gaussian disturbances: Some sampling results
    • Blattberg R., and Sargent T. Regression with non-Gaussian disturbances: Some sampling results. Econometrica 39 (1971) 501-510
    • (1971) Econometrica , vol.39 , pp. 501-510
    • Blattberg, R.1    Sargent, T.2
  • 13
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroscedasticity
    • Bollerslev T. Generalized autoregressive conditional heteroscedasticity. J. Econometrics 31 (1986) 307-327
    • (1986) J. Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 16
    • 0001496109 scopus 로고
    • A general distribution for describing security price returns
    • Bookstaber R.M., and McDonald J.B. A general distribution for describing security price returns. J. Business 60 (1987) 401-424
    • (1987) J. Business , vol.60 , pp. 401-424
    • Bookstaber, R.M.1    McDonald, J.B.2
  • 17
    • 38249005323 scopus 로고
    • Using incomplete moments to measure inequality
    • Butler R.J., and McDonald J.B. Using incomplete moments to measure inequality. J. Econometrics 42 (1989) 109-119
    • (1989) J. Econometrics , vol.42 , pp. 109-119
    • Butler, R.J.1    McDonald, J.B.2
  • 19
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variance for speculative prices
    • Clark P.K. A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41 (1973) 135-155
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.K.1
  • 20
    • 70350341425 scopus 로고
    • Mean-absolute-deviation versus least squares regression estimation of beta coefficients
    • Cornell D., and Dietrich J.K. Mean-absolute-deviation versus least squares regression estimation of beta coefficients. J. Financ. Quant. Anal. 13 (1978) 123-131
    • (1978) J. Financ. Quant. Anal. , vol.13 , pp. 123-131
    • Cornell, D.1    Dietrich, J.K.2
  • 21
    • 0041696948 scopus 로고
    • On least absolute error estimation with linear regression models with dependent stable residuals
    • Coursey D., and Nyquist H. On least absolute error estimation with linear regression models with dependent stable residuals. Rev. Econom. Statist. 65 (1983) 687-692
    • (1983) Rev. Econom. Statist. , vol.65 , pp. 687-692
    • Coursey, D.1    Nyquist, H.2
  • 22
    • 33847554918 scopus 로고
    • The valuation of options for alternative stochastic processes
    • Cox J.C., and Ross S.A. The valuation of options for alternative stochastic processes. J. Financ. Econom. 3 (1976) 145-166
    • (1976) J. Financ. Econom. , vol.3 , pp. 145-166
    • Cox, J.C.1    Ross, S.A.2
  • 24
    • 0010851060 scopus 로고
    • Portfolio theory when investment relatives are lognormally distributed
    • Elton E.J., and Gruber M.J. Portfolio theory when investment relatives are lognormally distributed. J. Finance 29 (1974) 1265-1273
    • (1974) J. Finance , vol.29 , pp. 1265-1273
    • Elton, E.J.1    Gruber, M.J.2
  • 25
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations
    • Engle R. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations. Econometrica 50 (1982) 987-1008
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.1
  • 26
    • 0001471480 scopus 로고
    • Some properties for symmetric stable distributions
    • Fama E.F., and Roll R. Some properties for symmetric stable distributions. J. Amer. Statist. Assoc. 63 (1968) 817-836
    • (1968) J. Amer. Statist. Assoc. , vol.63 , pp. 817-836
    • Fama, E.F.1    Roll, R.2
  • 29
    • 84977320110 scopus 로고
    • More evidence on the distribution of security returns
    • Hagerman R.L. More evidence on the distribution of security returns. J. Finance 33 (1978) 1213-1221
    • (1978) J. Finance , vol.33 , pp. 1213-1221
    • Hagerman, R.L.1
  • 30
    • 84963089164 scopus 로고
    • The efficiency analysis of choices involving risk
    • Hanoch G., and Levy H. The efficiency analysis of choices involving risk. Rev. Econom. Stud. 36 (1969) 335-346
    • (1969) Rev. Econom. Stud. , vol.36 , pp. 335-346
    • Hanoch, G.1    Levy, H.2
  • 32
    • 84950662523 scopus 로고
    • Adaptive robust procedures: A partial review and some suggestions for future applications and theory
    • Hogg R.V. Adaptive robust procedures: A partial review and some suggestions for future applications and theory. J. Amer. Statist. Assoc. 69 (1974) 909-927
    • (1974) J. Amer. Statist. Assoc. , vol.69 , pp. 909-927
    • Hogg, R.V.1
  • 33
    • 0000480916 scopus 로고
    • Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
    • Hsieh D.A., and Manski C.F. Monte Carlo evidence on adaptive maximum likelihood estimation of a regression. Ann. Statist. 15 (1987) 541-551
    • (1987) Ann. Statist. , vol.15 , pp. 541-551
    • Hsieh, D.A.1    Manski, C.F.2
  • 35
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatilities
    • Hull J., and White A. The pricing of options on assets with stochastic volatilities. J. Finance 52 (1987) 281-300
    • (1987) J. Finance , vol.52 , pp. 281-300
    • Hull, J.1    White, A.2
  • 38
    • 0012980755 scopus 로고
    • Welfare Rankings of Income Distributions
    • Basmann R.L., and Rhodes G.F. (Eds), JAI Press, Greenwich, Conn.
    • Kakwani N.C. Welfare Rankings of Income Distributions. In: Basmann R.L., and Rhodes G.F. (Eds). Advances in Econometrics 3 (1984), JAI Press, Greenwich, Conn.
    • (1984) Advances in Econometrics , vol.3
    • Kakwani, N.C.1
  • 41
    • 0000091032 scopus 로고
    • Robust methods in econometrics
    • Koenker R. Robust methods in econometrics. Econometric Rev. 1 (1982) 213-255
    • (1982) Econometric Rev. , vol.1 , pp. 213-255
    • Koenker, R.1
  • 42
    • 0001436552 scopus 로고
    • The distribution of stock returns: New evidence against the stable model
    • Lau A.H., Lau H., and Wingender J.R. The distribution of stock returns: New evidence against the stable model. J. Business Econom. Statist. 8 (1990) 217-223
    • (1990) J. Business Econom. Statist. , vol.8 , pp. 217-223
    • Lau, A.H.1    Lau, H.2    Wingender, J.R.3
  • 43
    • 0038383891 scopus 로고
    • On estimating skewness in stock returns
    • Lau H., Wingender J.R., and Lau A.H. On estimating skewness in stock returns. Mgmt. Sci. 35 9 (1989) 1139-1142
    • (1989) Mgmt. Sci. , vol.35 , Issue.9 , pp. 1139-1142
    • Lau, H.1    Wingender, J.R.2    Lau, A.H.3
  • 46
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot B. The variation of certain speculative prices. J. Business. 36 (1963) 394-419
    • (1963) J. Business. , vol.36 , pp. 394-419
    • Mandelbrot, B.1
  • 48
    • 0000650294 scopus 로고
    • Some generalized functions for the size distribution of income
    • McDonald J.B. Some generalized functions for the size distribution of income. Econometrica 52 (1984) 647-663
    • (1984) Econometrica , vol.52 , pp. 647-663
    • McDonald, J.B.1
  • 50
    • 0039978403 scopus 로고
    • Some generalized mixture distributions with an application to unemployment duration
    • McDonald J.B., and Butler R.J. Some generalized mixture distributions with an application to unemployment duration. Rev. Econom. Statist. 69 (1987) 232-240
    • (1987) Rev. Econom. Statist. , vol.69 , pp. 232-240
    • McDonald, J.B.1    Butler, R.J.2
  • 51
    • 70350346823 scopus 로고
    • Beta estimation in the market model: Skewness and Leptokurtosis
    • McDonald J.B., and Nelson R. Beta estimation in the market model: Skewness and Leptokurtosis. Comm. Statist. 22 (1993) 10
    • (1993) Comm. Statist. , vol.22 , pp. 10
    • McDonald, J.B.1    Nelson, R.2
  • 52
    • 70350344007 scopus 로고
    • Partially adaptive estimation of regression models via the generalized T distribution
    • McDonald J.B., and Newey W.K. Partially adaptive estimation of regression models via the generalized T distribution. Econometric Rev. 12 (1988) 103-124
    • (1988) Econometric Rev. , vol.12 , pp. 103-124
    • McDonald, J.B.1    Newey, W.K.2
  • 53
    • 70350344007 scopus 로고
    • A comparison of some robust, adaptive, and partially adaptive estimators of regression models
    • McDonald J.B., and White S.B. A comparison of some robust, adaptive, and partially adaptive estimators of regression models. Econometric Rev. 12 (1993) 103-124
    • (1993) Econometric Rev. , vol.12 , pp. 103-124
    • McDonald, J.B.1    White, S.B.2
  • 54
    • 43149089991 scopus 로고
    • A generalization of the beta distribution with applications
    • McDonald J.B., and Xu Y.J. A generalization of the beta distribution with applications. J. Econometrics 66 (1995) 133-152
    • (1995) J. Econometrics , vol.66 , pp. 133-152
    • McDonald, J.B.1    Xu, Y.J.2
  • 55
    • 3042690101 scopus 로고
    • The standard error of Gini's mean difference
    • Nair U.S. The standard error of Gini's mean difference. Biometrika 38 (1936) 428-436
    • (1936) Biometrika , vol.38 , pp. 428-436
    • Nair, U.S.1
  • 56
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson D.B. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 57
    • 0000929799 scopus 로고
    • The distribution of stock returns
    • Officer R.R. The distribution of stock returns. J. Amer. Statist. Assoc. 67 (1972) 807-812
    • (1972) J. Amer. Statist. Assoc. , vol.67 , pp. 807-812
    • Officer, R.R.1
  • 60
    • 0000678972 scopus 로고
    • Memoir on skew variation in homogeneous materials
    • Pearson K. Memoir on skew variation in homogeneous materials. Phil. Trans. Roy. Soc.. A. 186 (1895) 343-414
    • (1895) Phil. Trans. Roy. Soc.. A. , vol.186 , pp. 343-414
    • Pearson, K.1
  • 61
    • 0001658282 scopus 로고
    • Supplement to a memoir on skew variation
    • Pearson K. Supplement to a memoir on skew variation. Phil. Trans. Roy. Soc.. A. 197 (1901) 443-459
    • (1901) Phil. Trans. Roy. Soc.. A. , vol.197 , pp. 443-459
    • Pearson, K.1
  • 62
    • 0006386053 scopus 로고
    • Second supplement to a memoir on skew variation
    • Pearson K. Second supplement to a memoir on skew variation. Phil. Trans. Roy. Soc.. A. 216 (1916) 429-457
    • (1916) Phil. Trans. Roy. Soc.. A. , vol.216 , pp. 429-457
    • Pearson, K.1
  • 63
    • 0021596622 scopus 로고
    • Stochastic efficiency, normality, and sampling errors in agricultural risk analysis
    • Pope R.D., and Ziemer R.F. Stochastic efficiency, normality, and sampling errors in agricultural risk analysis. Amer. J. Agri. Econom. 66 (1984) 31-40
    • (1984) Amer. J. Agri. Econom. , vol.66 , pp. 31-40
    • Pope, R.D.1    Ziemer, R.F.2
  • 64
    • 0002370531 scopus 로고
    • The distribution of share price charges
    • Praetz P.D. The distribution of share price charges. J. Business. 45 (1972) 49-55
    • (1972) J. Business. , vol.45 , pp. 49-55
    • Praetz, P.D.1
  • 65
    • 0001579697 scopus 로고
    • Risk Aversion in the Small and Large
    • Pratt J.W. Risk Aversion in the Small and Large. Econometrica. (1964) 122-136
    • (1964) Econometrica. , pp. 122-136
    • Pratt, J.W.1
  • 66
    • 84963097458 scopus 로고
    • Admissibility and measurable utility functions
    • Quirk J.P., and Saposnik R. Admissibility and measurable utility functions. Rev. Econom. Stud. (1962)
    • (1962) Rev. Econom. Stud.
    • Quirk, J.P.1    Saposnik, R.2
  • 69
    • 84925041098 scopus 로고
    • Mean-Gini, portfolio theory, and the pricing of risky assets
    • Shalit H., and Yitzhaki S. Mean-Gini, portfolio theory, and the pricing of risky assets. J. Finance 39 (1984) 1449-1468
    • (1984) J. Finance , vol.39 , pp. 1449-1468
    • Shalit, H.1    Yitzhaki, S.2
  • 70
    • 0002385180 scopus 로고
    • Mean-absolute-deviation characteristic lines for securities and portfolios
    • Sharpe W.F. Mean-absolute-deviation characteristic lines for securities and portfolios. Mgmt. Sci. 18 (1971) 1-13
    • (1971) Mgmt. Sci. , vol.18 , pp. 1-13
    • Sharpe, W.F.1
  • 71
    • 0001364492 scopus 로고
    • Ranking income distributions
    • Shorrocks A.F. Ranking income distributions. Economica (1983) 3-17
    • (1983) Economica , pp. 3-17
    • Shorrocks, A.F.1
  • 72
    • 0000575755 scopus 로고
    • A function for the size distribution of incomes
    • Singh S.K., and Maddala G.S. A function for the size distribution of incomes. Econometrica 44 (1976) 963-973
    • (1976) Econometrica , vol.44 , pp. 963-973
    • Singh, S.K.1    Maddala, G.S.2
  • 74
    • 0141588865 scopus 로고
    • A comparison of maximum likelihood versus BLUE estimators
    • Smith V.K., and Hall T.W. A comparison of maximum likelihood versus BLUE estimators. Rev. Econom. Statist. 54 (1972) 186-190
    • (1972) Rev. Econom. Statist. , vol.54 , pp. 186-190
    • Smith, V.K.1    Hall, T.W.2
  • 76
    • 0011449049 scopus 로고
    • Lorenz ordering within the generalized gamma family of income distributions
    • Taillie C. Lorenz ordering within the generalized gamma family of income distributions. Statistical Distributions in Scientific Work 6 (1981) 181-192
    • (1981) Statistical Distributions in Scientific Work , vol.6 , pp. 181-192
    • Taillie, C.1
  • 78
    • 84963108002 scopus 로고
    • Liquidity preference as behaviour towards risk
    • Tobin J. Liquidity preference as behaviour towards risk. Rev. Econom. Stud. 25 (1958) 65-68
    • (1958) Rev. Econom. Stud. , vol.25 , pp. 65-68
    • Tobin, J.1
  • 80
    • 45949112947 scopus 로고
    • Option values under stochastic volatility
    • Wiggens J.B. Option values under stochastic volatility. J. Financ. Econom. 19 (1987) 351-372
    • (1987) J. Financ. Econom. , vol.19 , pp. 351-372
    • Wiggens, J.B.1
  • 82
    • 38249005892 scopus 로고
    • The Lorenz-ordering of Singh-Maddala income distributions
    • Wilfing B., and Kramer W. The Lorenz-ordering of Singh-Maddala income distributions. Econom. Lett. 43 (1993) 53-57
    • (1993) Econom. Lett. , vol.43 , pp. 53-57
    • Wilfing, B.1    Kramer, W.2
  • 83
    • 0001695366 scopus 로고
    • Stochastic dominance, mean variance and Gini's mean difference
    • Yitzhaki S. Stochastic dominance, mean variance and Gini's mean difference. Amer. Econom. Rev. 72 (1982) 178-185
    • (1982) Amer. Econom. Rev. , vol.72 , pp. 178-185
    • Yitzhaki, S.1
  • 84
    • 0344795487 scopus 로고
    • Linear regression with non-normal error terms
    • Zeckhauser R., and Thompson M. Linear regression with non-normal error terms. Rev. Econom Statist. 52 (1970) 280-286
    • (1970) Rev. Econom Statist. , vol.52 , pp. 280-286
    • Zeckhauser, R.1    Thompson, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.