On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index
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- Xibin Zhang & Maxwell L. King, 2011. "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers 24/11, Monash University, Department of Econometrics and Business Statistics.
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- Chen Yi-Ting & Lin Chang-Ching, 2008. "On the Robustness of Symmetry Tests for Stock Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-40, May.
- Andreas Behr & Ulrich Pötter, 2009. "Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models," Annals of Finance, Springer, vol. 5(1), pages 49-68, January.
- Fischer, Matthias J. & Horn, Armin & Klein, Ingo, 2003. "Tukey-type distributions in the context of financial data," Discussion Papers 52/2003, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
- Fischer, Matthias J., 2006. "Generalized Tukey-type distributions with application to financial and teletraffic data," Discussion Papers 72/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
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