Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 4 (November)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Financial risk management; Pearson distribution system; Skewness and Kurtosis;
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- 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.
- 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.
- 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.
- 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.
- 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.
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