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A Compound Events Model for Security Prices

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S. James Press
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File URL: http://www.journals.uchicago.edu/cgi-bin/resolve?id=doi:10.1086/294980
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Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 40 (1967)
Issue (Month): ()
Pages: 317
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Handle: RePEc:ucp:jnlbus:v:40:y:1967:p:317

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  1. Felipe M. Aparicio, Javier Estrada, 2001. "Empirical distributions of stock returns: European securities markets, 1990-95," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 1-21, March. [Downloadable!] (restricted)
  2. Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  3. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group. [Downloadable!]
  4. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
  5. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
  6. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Paper 2008-15, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  7. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  9. Uwe KUECHLER & Kirsten NEUMANN & Michael SOERSENSEN & Arnfried STRELLER, . "Stock Returns and Hyperbolic Distributions," Sonderforschungsbereich 373 1994-23, Humboldt Universitaet Berlin.
  10. Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  11. J. Ledolter, 1979. "Inference robustness of ARIMA models under non-normality —Special application to stock price data," Metrika, Springer, vol. 26(1), pages 43-56, December. [Downloadable!] (restricted)
  12. Jennifer Koski & Jeffrey Pontiff, 1996. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Center for Financial Institutions Working Papers 96-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  13. Francisco Javier Fernandez, 2002. "On Jump-Diffusion Processes for Asset Returns," Working Papers Economia wp02-18, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
  14. Philip Kostov & Seamus McErlean, 2004. "Estimating the probability of large negative stock market," Finance 0409011, EconWPA. [Downloadable!]
  15. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  16. Eduardo Martínez Chombo, 2005. "Decomposing electricity prices with jumps," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 20(1), pages 27-52. [Downloadable!]
  17. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics. [Downloadable!]
  18. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York. [Downloadable!]
  19. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  20. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
  21. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO. [Downloadable!]
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  22. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19. [Downloadable!]
  23. Noureddine Krichene, 2007. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 06/299, International Monetary Fund. [Downloadable!]
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This page was last updated on 2008-8-11.

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