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A model for stock market returns: non-Gaussian fluctuations and financial factors

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  • B. Craven

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  • Sardar Islam
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-007-0066-3
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 30 (2008)
    Issue (Month): 4 (May)
    Pages: 355-370

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    Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:355-370

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Aggregate stock prices; Returns; Diflogs; Positive feedback; Phases; Kurtosis; Optimism factor; Credit; G10;

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    References

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    1. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421.
    2. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
    3. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
    4. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    5. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September.
    6. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2005. "Institutional Investors and Stock Market Volatility," NBER Working Papers 11722, National Bureau of Economic Research, Inc.
    7. Kapopoulos, Panayotis & Siokis, Fotios, 2005. "Stock market crashes and dynamics of aftershocks," Economics Letters, Elsevier, vol. 89(1), pages 48-54, October.
    8. Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 111-141, January.
    9. Ratti, Ronald A. & Seo, Jeonghee, 2003. "Multiple equilibria and currency crisis: evidence for Korea," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 681-696, October.
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    Cited by:
    1. Lawrence R. Thorne, 2011. "Fat Tails Quantified and Resolved: A New Distribution to Reveal and Characterize the Risk and Opportunity Inherent in Leptokurtic Data," Papers 1110.6553, arXiv.org.

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