Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US
AbstractNo abstract is available for this item.
Download InfoIf 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.
Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 4 (November)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
Financial risk management; Pearson distribution system; Skewness and Kurtosis;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yuichi Nagahara, 2008. "A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 175-184, December.
- Yuichi Nagahara, 2003. "Non-Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 721-738, November.
- Michael Sørensen & Julie Lyng Forman, 2007.
"The Pearson diffusions: A class of statistically tractable diffusion processes,"
CREATES Research Papers
2007-28, School of Economics and Management, University of Aarhus.
- Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 35(3), pages 438-465.
- Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
- Nagahara, Yuichi, 2004. "A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 47(1), pages 1-29, August.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.