Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US
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Volume (Year): 18 (2011)
Issue (Month): 4 (November)
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- Yuichi Nagahara, 2003. "Non-Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 721-738, November.
- Julie Lyng Forman & Michael Sørensen, 2008.
"The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes,"
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Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465.
- Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, Department of Economics and Business Economics, Aarhus University.
- Verhoeven, Peter & McAleer, Michael, 2004. "Fat tails and asymmetry in financial volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 351-361.
- Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Nagahara, Yuichi, 2004. "A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 47(1), pages 1-29, August.
- Yuichi Nagahara, 2008. "A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 175-184, December. Full references (including those not matched with items on IDEAS)
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