More Evidence on the Distribution of Security Returns
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 33 (1978)
Issue (Month): 4 (September)
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- 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.
- Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA.
- 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.
- Safarian, Mher, 2013. "On portfolio risk estimation," Working Paper Series in Economics 52, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
- 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.
- 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.
- 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.
- 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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