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Non-linear properties of conditional returns under scale mixtures

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  • Fotopoulos, Stergios B.
  • Jandhyala, Venkata K.
  • Chen, Kim-Heng

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2007)
Issue (Month): 6 (March)
Pages: 3041-3056

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Handle: RePEc:eee:csdana:v:51:y:2007:i:6:p:3041-3056

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  1. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  3. Feinstone, Lauren J, 1987. "Minute to Minute: Efficiency, Normality, and Randomness in Intra-daily Asset Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 2(3), pages 193-214, July.
  4. Jobson, John D, 1982. " A Multivariate Linear Regression Test for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 37(4), pages 1037-42, September.
  5. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
  6. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
  7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
  8. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(3), pages 339-50, July.
  9. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
  10. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  11. Cambanis, Stamatis & Wu, Wei, 1992. "Multiple regression on stable vectors," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 243-272, May.
  12. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  13. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(1), pages 57-89, January.
  14. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-24, October.
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