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Citations for "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices"

by Blattberg, Robert C & Gonedes, Nicholas J

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  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. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  3. Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer, vol. 13(3), pages 261-295, September. [Downloadable!] (restricted)
  4. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany. [Downloadable!]
  5. 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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  6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  8. Uwe KUECHLER & Kirsten NEUMANN & Michael SOERSENSEN & Arnfried STRELLER, . "Stock Returns and Hyperbolic Distributions," Sonderforschungsbereich 373 1994-23, Humboldt Universitaet Berlin.
  9. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August. [Downloadable!] (restricted)
  10. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation, Yale University. [Downloadable!]
  11. 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!]
  12. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Documents de Travail 108, Banque de France. [Downloadable!]
  13. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Quantitative Finance Papers physics/0305089, arXiv.org. [Downloadable!]
  14. Niklas Wagner & Terry Marsh, 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance, Working Paper Series 1000, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  15. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 119-135, May. [Downloadable!] (restricted)
  16. 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!]
  17. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Documents de Travail 66, Banque de France. [Downloadable!]
  18. Joshua Seungwook Bahng, 2004. "Structural Breaks and the Normality of Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(II), pages 207-227, June. [Downloadable!]
  19. C.G. de vries, 2004. "The simple economics of bank fragility," WO Research Memoranda (discontinued) 755, Netherlands Central Bank, Research Department. [Downloadable!]
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  20. Akio Namba, 2001. "MSE performance of the 2SHI estimator in a regression model with multivariate t error terms," Statistical Papers, Springer, vol. 42(1), pages 81-96, January. [Downloadable!] (restricted)
  21. Philipp Hartmann & Stefan Straetmans & Caspar G. de Vries, 2004. "Fundamentals and joint currency crises," Working Paper Series 324, European Central Bank. [Downloadable!]
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  22. 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!]
  23. P. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 111-136, April. [Downloadable!] (restricted)
  24. Sam Howison & David lamper, 2000. "Trading Volume in Models of Financial Derivatives," OFRC Working Papers Series 2000mf03, Oxford Financial Research Centre. [Downloadable!]
  25. M.F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 201-206, December. [Downloadable!] (restricted)
  26. 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)
  27. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June. [Downloadable!] (restricted)
  28. 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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This page was last updated on 2009-12-28.

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