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The Distribution of Share Price Changes

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Author Info
Praetz, Peter D
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File URL: http://links.jstor.org/sici?sici=0021-9398%28197201%2945%3A1%3C49%3ATDOSPC%3E2.0.CO%3B2-N&origin=repec
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Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 45 (1972)
Issue (Month): 1 (January)
Pages: 49-55
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Handle: RePEc:ucp:jnlbus:v:45:y:1972:i:1:p:49-55

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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. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Paper 2008-15, Federal Reserve Bank of Atlanta. [Downloadable!]
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  3. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  4. Uwe KUECHLER & Kirsten NEUMANN & Michael SOERSENSEN & Arnfried STRELLER, . "Stock Returns and Hyperbolic Distributions," Sonderforschungsbereich 373 1994-23, Humboldt Universitaet Berlin.
  5. 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)
  6. Pitt, M.K. & Walker, S.G., 2001. "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS) 595, University of Warwick, Department of Economics. [Downloadable!]
  7. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society. [Downloadable!]
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  8. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2). [Downloadable!]
  9. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Ibmec São Paulo. [Downloadable!]
  10. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  11. Manuel Vega & José L. Alvarez, . "Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias," Studies on the Spanish Economy 116, FEDEA. [Downloadable!]
  12. Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute. [Downloadable!]
  13. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May. [Downloadable!] (restricted)
  14. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June. [Downloadable!] (restricted)
  15. Ignacio Mauleon, Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student’s t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239, June. [Downloadable!] (restricted)
  16. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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