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

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Author Info
B. Craven ()
Sardar Islam
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File URL: http://hdl.handle.net/10.1007/s11156-007-0066-3
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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

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

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  1. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Quantitative Finance Papers cond-mat/9905305, arXiv.org. [Downloadable!]
  2. 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. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
    Other versions:
  4. 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. [Downloadable!] (restricted)
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  5. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421. [Downloadable!] (restricted)
  6. Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, School of Economics and Management, University of Aarhus. [Downloadable!]
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  7. Kapopoulos, Panayotis & Siokis, Fotios, 2005. "Stock market crashes and dynamics of aftershocks," Economics Letters, Elsevier, vol. 89(1), pages 48-54, October. [Downloadable!] (restricted)
  8. Sampson, Michael, 2003. "New Eras and Stock Market Bubbles," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 297-315, September. [Downloadable!] (restricted)
  9. 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. [Downloadable!] (restricted)
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