Advanced Search
MyIDEAS: Login

Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions

Contents:

Author Info

  • Phillipe Lambert
  • J. K. Lindsey
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9876.00161
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series C (Applied Statistics).

    Volume (Year): 48 (1999)
    Issue (Month): 3 ()
    Pages: 409-424

    as in new window
    Handle: RePEc:bla:jorssc:v:48:y:1999:i:3:p:409-424

    Contact details of provider:
    Postal: 12 Errol Street, London EC1Y 8LX, United Kingdom
    Phone: -44-171-638-8998
    Fax: -44-171-256-7598
    Email:
    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0035-9254
    More information through EDIRC

    Order Information:
    Web: http://www.blackwellpublishing.com/subs.asp?ref=0035-9254

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
    2. Julie Carreau & Yoshua Bengio, 2004. "Estimation de densité conditionnelle lorsque l'hypothèse de normalité est insatisfaisante," CIRANO Working Papers 2004s-31, CIRANO.
    3. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers.
    4. Lehnert, Thorsten & Wolff, Christian C.P., 2004. "Scale-consistent Value-at-Risk," Open Access publications from Maastricht University urn:nbn:nl:ui:27-13928, Maastricht University.
    5. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
    6. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2006. "An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 97-113.
    7. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:jorssc:v:48:y:1999:i:3:p:409-424

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.