The Empirical Distribution of UK and US Stock Returns
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- Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
- Fabio Pizzutilo, 2012. "Use of the Pearson System of Frequency Curves for the Analysis of Stock Return Distributions: Evidence and Implications for the Italian Market," Economics Bulletin, AccessEcon, vol. 32(1), pages 272-281.
- Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, February.
- Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
- Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 195-202.
- BenSaïda, Ahmed & Slim, Skander, 2016. "Highly flexible distributions to fit multiple frequency financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 203-213.
- repec:eee:empfin:v:43:y:2017:i:c:p:1-32 is not listed on IDEAS
- Jan Bulla, 2010.
"Hidden Markov models with t components. Increased persistence and other aspects,"
Taylor & Francis Journals, vol. 11(3), pages 459-475.
- Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
- BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.
- Arnold Polanski & Evarist Stoja, 2010. "Incorporating higher moments into value-at-risk forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(6), pages 523-535.
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