Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
Download full text from publisher
References listed on IDEAS
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
- Rachev, S.T (ed.), 2003. "Handbook of Heavy Tailed Distributions in Finance," Elsevier Monographs, Elsevier, edition 1, number 9780444508966.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Yu Chuan Huang & Bor-Jing Lin, 2004. "Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations," Review of Quantitative Finance and Accounting, Springer, vol. 22(2), pages 79-95, March.
- Chiang, Thomas C. & Doong, Shuh-Chyi, 1999. "Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data," Global Finance Journal, Elsevier, vol. 10(2), pages 187-200.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yuri Heymann, 2016. "A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks," Computational Statistics, Springer, vol. 31(4), pages 1373-1383, December.
More about this item
KeywordsStable distributions; ARMA-GARCH; Heavy tails; Volatility clustering; Value at risk;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cuf:journl:y:2007:v:8:i:1:p:21-31. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Qiang Gao) or (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/emcufcn.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.