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The Stable-Law Model of Stock Returns

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  • Akgiray, Vedat
  • Booth, G Geoffrey
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    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 6 (1988)
    Issue (Month): 1 (January)
    Pages: 51-57

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    Handle: RePEc:bes:jnlbes:v:6:y:1988:i:1:p:51-57

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    Cited by:
    1. Marcos Souto & Theodore M. Barnhill, 2007. "Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate," IMF Working Papers 07/290, International Monetary Fund.
    2. KIANI, Khurshid M., 2007. "Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 103-118.
    3. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Society for Computational Economics, vol. 29(3), pages 333-354, May.
    4. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation for Research in Economics, Yale University.
    5. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
    6. Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    7. Lau, Hon-Shiang & Lau, Amy Hing Ling, 1997. "The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions," European Journal of Operational Research, Elsevier, vol. 100(1), pages 60-71, July.
    8. Jonathan B. Hill, 2005. "On Tail Index Estimation Using Dependent,Heterogenous Data," Working Papers 0512, Florida International University, Department of Economics.
    9. repec:sfi:sfiwpa:500035 is not listed on IDEAS
    10. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, EconWPA, revised 27 May 2005.
    11. Khurshid M. Kiani, 2006. "Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(3), pages 369-381.
    12. Douglas Stone & William T. Ziemba, 1993. "Land and Stock Prices in Japan," Journal of Economic Perspectives, American Economic Association, vol. 7(3), pages 149-165, Summer.
    13. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.

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