Structural Breaks and the Normality of Stock Returns
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References listed on IDEAS
- Kim, Dongcheol & Kon, Stanley J, 1996. "Sequential Parameter Nonstationarity in Stock Market Returns," Review of Quantitative Finance and Accounting, Springer, vol. 6(2), pages 103-131, March.
- Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
More about this item
KeywordsStructural Breaks; Mixture-of-Normals; Stock Return Distribution; Swiss Stock Market;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
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