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Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US

  • Yuichi Nagahara


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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 4 (November)
    Pages: 429-443

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:4:p:429-443
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    1. Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Yuichi Nagahara, 2008. "A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 175-184, December.
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