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More Evidence on the Distribution of Security Returns

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  • Hagerman, Robert L
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    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 33 (1978)
    Issue (Month): 4 (September)
    Pages: 1213-21

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    Handle: RePEc:bla:jfinan:v:33:y:1978:i:4:p:1213-21

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    Cited by:
    1. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    2. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, . "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
    3. Safarian, Mher, 2013. "On portfolio risk estimation," Working Paper Series in Economics 52, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
    4. López Martín, María del Mar & García, Catalina García & García Pérez, José, 2012. "Treatment of kurtosis in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2032-2045.
    5. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
    6. A. Sancetta & Satchell, S.E., 2001. "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics 0105, Faculty of Economics, University of Cambridge.
    7. McCulloch, J. Huston & Percy, E. Richard, 2013. "Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions," Journal of Econometrics, Elsevier, vol. 172(2), pages 275-282.

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