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The Distribution of Share Price Changes

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Cited by:

  1. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
  2. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  3. Arindam Banerjee, 2022. "An Empirical Risk and Return Analysis of Select Stocks in NASDAQ 100," Accounting and Finance Research, Sciedu Press, vol. 11(2), pages 1-1, May.
  4. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  5. 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.
  6. Wai Mun Fong, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 167-186.
  7. Ignatieva, Katja & Landsman, Zinoviy, 2019. "Conditional tail risk measures for the skewed generalised hyperbolic family," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 98-114.
  8. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
  9. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
  10. Miguel Ángel Sánchez & Juan E Trinidad & José García & Manuel Fernández, 2015. "The Effect of the Underlying Distribution in Hurst Exponent Estimation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-17, May.
  11. Errunza, Vihang & Hogan, Kedreth Jr. & Mazumdar, Sumon C., 1996. "Behavior of international stock return distributions: A simple test of functional form," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 51-61.
  12. Zhiyuan Liu & M. Dashti Moghaddam & R. A. Serota, 2017. "Distributions of Historic Market Data - Stock Returns," Papers 1711.11003, arXiv.org, revised Dec 2017.
  13. Rustam Ibragimov & Johan Walden, 2010. "Optimal Bundling Strategies Under Heavy-Tailed Valuations," Management Science, INFORMS, vol. 56(11), pages 1963-1976, November.
  14. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  15. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
  16. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  17. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
  18. Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
  19. Katja Ignatieva & Eckhard Platen, 2010. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 261-302, September.
  20. José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas, 2008. "A Goodness-of-Fit Test with Focus on Conditional Value at Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 139-155.
  21. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2012. "Scaling, stability and distribution of the high-frequency returns of the IBEX35 index," Papers 1208.0317, arXiv.org.
  22. J. Ledolter, 1979. "Inference robustness of ARIMA models under non-normality —Special application to stock price data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 26(1), pages 43-56, December.
  23. Christian Gabriel & Christian Lau, 2014. "On the distribution of government bond returns: evidence from the EMU," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 181-203, May.
  24. Barbachan, José Santiago Fajardo, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 57(4), October.
  25. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  26. M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2019. "Distributions of Historic Market Data -- Relaxation and Correlations," Papers 1907.05348, arXiv.org, revised Feb 2020.
  27. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
  28. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
  29. McCulloch, J. Huston & Percy, E. Richard, 2013. "Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions," Journal of Econometrics, Elsevier, vol. 172(2), pages 275-282.
  30. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  31. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
  32. Till Massing, 2019. "What is the best Lévy model for stock indices? A comparative study with a view to time consistency," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 277-344, September.
  33. Dashti Moghaddam, M. & Serota, R.A., 2021. "Combined multiplicative–Heston model for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
  34. Kaehler, Jürgen, 1991. "Modelling and forecasting exchange-rate volatility with ARCH-type models," ZEW Discussion Papers 91-02, ZEW - Leibniz Centre for European Economic Research.
  35. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
  36. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  37. Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
  38. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  39. Aki-Hiro Sato, 2012. "A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices," Papers 1205.0332, arXiv.org, revised Mar 2013.
  40. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
  41. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  42. F. Pizzutilo, 2012. "The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(20), pages 1743-1752, October.
  43. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
  44. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  45. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-27.
  46. Mark Tippett, 2004. "Discussion of Interim Reporting Frequency and Financial Analysts’ Expenditures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1‐2), pages 199-207, January.
  47. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series 1812, CESifo.
  48. Manuel Vega & José L. Alvarez, "undated". "Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias," Studies on the Spanish Economy 116, FEDEA.
  49. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
  50. Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
  51. Shuangzhe Liu & Chris Heyde, 2008. "On estimation in conditional heteroskedastic time series models under non-normal distributions," Statistical Papers, Springer, vol. 49(3), pages 455-469, July.
  52. M. Dashti Moghaddam & R. A. Serota, 2018. "Combined Mutiplicative-Heston Model for Stochastic Volatility," Papers 1807.10793, arXiv.org.
  53. Henryk Gurgul & Roland Mestel & Tomasz Wojtowicz, 2007. "Distribution of volume on the American stock market," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 1, pages 143-163.
  54. Felipe Aparicio & Javier Estrada, 2001. "Empirical distributions of stock returns: European securities markets, 1990-95," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 1-21.
  55. Liu, Zhenya & Wang, Shixuan, 2017. "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 127-149.
  56. Cassidy, Daniel T., 2011. "Describing n-day returns with Student’s t-distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2794-2802.
  57. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
  58. Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico, 2019. "Fat tails in financial return distributions revisited: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
  59. Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Computational Statistics, Springer, vol. 18(3), pages 355-373, September.
  60. Ha, Daesung & Chang, S. J., 1998. "The distribution of transaction intervals in common stock trading," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 103-115.
  61. Bandi, Federico M. & Nguyen, Thong H., 2003. "On the functional estimation of jump-diffusion models," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 293-328.
  62. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
  63. Grothe, Oliver & Schmidt, Rafael, 2010. "Scaling of Lévy–Student processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1455-1463.
  64. Anders Ekholm & Daniel Pasternack, 2005. "The negative news threshold—An explanation for negative skewness in stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 511-529.
  65. Wang, Xinyu & Luo, Yi & Wang, Zhuqing & Xu, Yan & Wu, Congxin, 2021. "The impact of economic policy uncertainty on volatility of China’s financial stocks: An empirical analysis," Finance Research Letters, Elsevier, vol. 39(C).
  66. Miguel A Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," PLOS ONE, Public Library of Science, vol. 4(12), pages 1-4, December.
  67. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Leibniz Centre for European Economic Research.
  68. Jalshayin Bhachech & Arnab Chakrabarti & Taisei Kaizoji & Anindya S. Chakrabarti, 2022. "Instability of networks: effects of sampling frequency and extreme fluctuations in financial data," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 95(4), pages 1-14, April.
  69. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society.
  70. Qian, Hang, 2009. "Estimating SUR Tobit Model while errors are gaussian scale mixtures: with an application to high frequency financial data," MPRA Paper 31509, University Library of Munich, Germany.
  71. Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute.
  72. Tianyang Wang & James Dyer & Warren Hahn, 2015. "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, vol. 18(3), pages 263-289, October.
  73. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 97-124, May.
  74. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
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  76. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
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  87. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
  88. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
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  124. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, "undated". "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1331, Athens University of Economics and Business.
  125. David Ashton & Mark Tippett, 2006. "Mean Reversion and the Distribution of United Kingdom Stock Index Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1586-1609, November.
  126. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2012. "Statistical Modeling of Stock Returns: A Historical Survey with Methodological Reflections," DEOS Working Papers 1226, Athens University of Economics and Business.
  127. Harrar, Solomon W. & Seneta, Eugene & Gupta, Arjun K., 2006. "Duality between matrix variate t and matrix variate V.G. distributions," Journal of Multivariate Analysis, Elsevier, vol. 97(6), pages 1467-1475, July.
  128. Jiong Liu & R. A. Serota, 2022. "Rethinking Generalized Beta Family of Distributions," Papers 2209.05225, arXiv.org.
  129. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  130. Drama Bedi Guy HERVE & Yao SHEN, 2010. "Management Of Stock Price And Its Effect On Economic Growth: Case Study Of West African Financial Markets," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
  131. Eom, Cheoljun & Kaizoji, Taisei & Livan, Giacomo & Scalas, Enrico, 2021. "Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  132. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
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