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The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

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  • Westerfield, Randolph
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 12 (1977)
    Issue (Month): 05 (December)
    Pages: 743-765

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    Handle: RePEc:cup:jfinqa:v:12:y:1977:i:05:p:743-765_02

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    Cited by:
    1. Taoufik Bouezmarni & Jeroen V. K. Rombouts & Abderrahim Taamouti, 2009. "A nonparametric copula based test for conditional independence with applications to granger causality," Economics Working Papers we093419, Universidad Carlos III, Departamento de Economía.
    2. Kim, In-Moo, 2003. "Operational time of the Korea stock markets," Economics Letters, Elsevier, vol. 78(2), pages 181-185, February.
    3. 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.
    4. Juan Gabriel Brida & W. Adrian Risso, 2009. "Dynamic and Structure of the Italian stock market based on returns and volume trading," Economics Bulletin, AccessEcon, vol. 29(3), pages 2417-2423.
    5. Weigand, Robert A., 1996. "Trading volume and firm size: A test of the information spillover hypothesis," Review of Financial Economics, Elsevier, vol. 5(1), pages 47-58.
    6. Moosa, Imad A. & Al-Loughani, Nabeel E., 1995. "Testing the price-volume relation in emerging Asian stock markets," Journal of Asian Economics, Elsevier, vol. 6(3), pages 407-422.
    7. Brida, Juan Gabriel & Risso, Wiston Adrián, 2008. "Multidimensional minimal spanning tree: The Dow Jones case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5205-5210.

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