메뉴 건너뛰기




Volumn 0, Issue , 2005, Pages 343-350

The role of the normal distribution in financial markets

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKETS;

EID: 77951168569     PISSN: 14318814     EISSN: 21983321     Source Type: Conference Proceeding    
DOI: 10.1007/3-540-27373-5_41     Document Type: Conference Paper
Times cited : (7)

References (13)
  • 1
    • 84977735622 scopus 로고
    • Nonnormalities and Tests of Asset Pricing Theories
    • Affleck-Graves, J. and McDonald, B. (1989): Nonnormalities and Tests of Asset Pricing Theories. Journal of Finance, 44, 889-908.
    • (1989) Journal of Finance , vol.44 , pp. 889-908
    • Affleck-Graves, J.1    McDonald, B.2
  • 4
    • 0002528209 scopus 로고
    • The Behavior of Stock Market Prices
    • Fama, E. (1965): The Behavior of Stock Market Prices. Journal of Business, 38, 34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.1
  • 5
    • 0002437730 scopus 로고
    • A Test for Normality of Observations and Regression Residuals
    • Jarque, C. M. and Bera, A. K. (1987): A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55, 163-172.
    • (1987) International Statistical Review , vol.55 , pp. 163-172
    • Jarque, C.M.1    Bera, A.K.2
  • 6
    • 0037411916 scopus 로고    scopus 로고
    • Conditional Volatility, Skewness and Kurtosis: Existence, Persistence, and Comovements
    • Jondeau, E. and Rockinger, M. (2003): Conditional Volatility, Skewness and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27, 1699-1737.
    • (2003) Journal of Economic Dynamics and Control , vol.27 , pp. 1699-1737
    • Jondeau, E.1    Rockinger, M.2
  • 7
    • 0040609274 scopus 로고    scopus 로고
    • Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
    • Kilian, L. and Demiroglu, U. (2000): Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence. Journal of Business and Economic Statistics, 18, 40-50.
    • (2000) Journal of Business and Economic Statistics , vol.18 , pp. 40-50
    • Kilian, L.1    Demiroglu, U.2
  • 8
    • 0003114587 scopus 로고
    • The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
    • Lintner, J. (1965): The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13-37.
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 9
    • 84995186518 scopus 로고
    • Portfolio Selection
    • Markovitz, H. (1952): Portfolio Selection. Journal of Finance, 7, 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markovitz, H.1
  • 10
    • 0141495114 scopus 로고    scopus 로고
    • Frontiers of stochastically nondominated portfolios
    • Ruszczyski A. and Vanderbei R. (2003): Frontiers of stochastically nondominated portfolios, Econometrica 71, 1287-1297.
    • (2003) Econometrica , vol.71 , pp. 1287-1297
    • Ruszczyski, A.1    Vanderbei, R.2
  • 11
    • 84980092818 scopus 로고
    • Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk
    • Sharpe, W. F. (1964): Capital Asset Prices: a Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, 237-260.
    • (1964) Journal of Finance , vol.19 , pp. 237-260
    • Sharpe, W.F.1
  • 13
    • 0037383959 scopus 로고    scopus 로고
    • The Stable Non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach
    • Tokat, Y., Rachev, S.T. and Schwartz E.S. (2003): The Stable Non-Gaussian Asset Allocation: a Comparison with the Classical Gaussian Approach. Journal of Economic Dynamics and Control, 27, 937-969.
    • (2003) Journal of Economic Dynamics and Control , vol.27 , pp. 937-969
    • Tokat, Y.1    Rachev, S.T.2    Schwartz, E.S.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.