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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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  • Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
    • Handle: RePEc:eee:csdana:v:51:y:2007:i:6:p:3041-3056
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    References listed on IDEAS

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    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    2. 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 244-280, April.
    3. 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.
    4. Feinstone, Lauren J, 1987. "Minute to Minute: Efficiency, Normality, and Randomness in Intra-daily Asset Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(3), pages 193-214, July.
    5. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
    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. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
    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, vol. 20(3), pages 339-350, July.
    9. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    10. 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 511-524, October.
    11. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    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, September.
    13. Cambanis, Stamatis & Fotopoulos, Stergios B. & He, Lijian, 2000. "On the Conditional Variance for Scale Mixtures of Normal Distributions," Journal of Multivariate Analysis, Elsevier, vol. 74(2), pages 163-192, August.
    14. Jobson, John D, 1982. "A Multivariate Linear Regression Test for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 37(4), pages 1037-1042, September.
    15. 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, vol. 52(1-2), pages 5-59.
    16. Stergios Fotopoulos & Lijian He, 1999. "Error Bounds for Asymptotic Expansion of the Conditional Variance of the Scale Mixtures of the Multivariate Normal Distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(4), pages 731-747, December.
    17. Cambanis, Stamatis & Wu, Wei, 1992. "Multiple regression on stable vectors," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 243-272, May.
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