An investigation of the unconditional distribution of South African stock index returns
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Loretan, Mico & Phillips, Peter C. B., 1994.
"Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets,"
Journal of Empirical Finance,
Elsevier, pages 211-248.
- Loretan, M. & Phillips, P.C.B., 1992. "Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets," Working papers 9208, Wisconsin Madison - Social Systems.
- Graham Barr & Jos Gerson & Brian Kantor, 1995. "Shareholders As Agents And Principals: The Case For South Africa'S Corporate Governance System," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 1-32.
- Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421-421.
- de Vries, Casper G., 1991.
"On the relation between GARCH and stable processes,"
Journal of Econometrics,
Elsevier, vol. 48(3), pages 313-324, June.
- de Vries, C.G., 1990. "On the relation between GARCH and stable processes," Discussion Paper 1990-34, Tilburg University, Center for Economic Research.
- Pagan, Adrian R. & Schwert, G. William, 1990. "Testing for covariance stationarity in stock market data," Economics Letters, Elsevier, vol. 33(2), pages 165-170, June.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- Brian Kantor, 1998. "Ownership And Control In South Africa Under Black Rule," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(4), pages 69-78.
- 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..
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Aggarwal, Raj & Lucey, Brian M., 2007.
"Psychological barriers in gold prices?,"
Review of Financial Economics,
Elsevier, pages 217-230.
- Brian Lucey & Raj Aggarwal, 2005. "Psychological Barriers in Gold Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp053, IIIS.
- Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, pages 777-800.
More about this item
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:taf:apfiec:v:13:y:2003:i:9:p:623-633. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .