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Citations for "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices"

by Blattberg, Robert C & Gonedes, Nicholas J

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  1. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
  2. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
  3. Estrada, Javier & Aparicio, Felipe M., 1997. "Empirical distributions of stock returns: european securities markets, 1990-95," DEE - Working Papers. Business Economics. WB 7054, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  4. Ahmet Göncü & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2014. "A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns," Working Papers 2014/07, Bogazici University, Department of Economics.
  5. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
  6. Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2004. "Fundamentals and joint currency crises," Working Paper Series 0324, European Central Bank.
  7. Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed, 2013. "Log Student’s t -distribution-based option sensitivities: Greeks for the Gosset formulae," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1289-1302, July.
  8. Christian Gabriel & Christian Lau, 2014. "On the distribution of government bond returns: evidence from the EMU," Financial Markets and Portfolio Management, Springer, vol. 28(2), pages 181-203, May.
  9. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.
  10. Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
  11. Ha, Daesung & Chang, S. J., 1998. "The distribution of transaction intervals in common stock trading," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 103-115.
  12. Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute.
  13. GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013. "Robust Estimation And Forecasting Of The Capital Asset Pricing Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1350007-1-1.
  14. McCulloch, J. Huston & Percy, E. Richard, 2013. "Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions," Journal of Econometrics, Elsevier, vol. 172(2), pages 275-282.
  15. Assaf, A., 2009. "Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 109-116, June.
  16. Elma Agić-Šabeta, 2016. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 7(1), pages 59-80.
  17. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," Center for Financial Institutions Working Papers 00-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  18. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
  19. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
  20. Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
  21. López Martín, María del Mar & García, Catalina García & García Pérez, José, 2012. "Treatment of kurtosis in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2032-2045.
  22. Phoebe Koundouri & Nikolaos Kourogenis, 2011. "On the Distribution of Crop Yields: Does the Central Limit Theorem Apply?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 93(5), pages 1341-1357.
  23. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
  24. Birbil, S.I. & Frenk, J.B.G. & Kaynar, B. & N. Nilay, N., 2008. "Risk measures and their applications in asset management," Econometric Institute Research Papers EI 2008-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  25. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  26. Lin, Aijing & Ma, Hui & Shang, Pengjian, 2015. "The scaling properties of stock markets based on modified multiscale multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 525-537.
  27. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  28. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
  29. Frahm, Gabriel & Junker, Markus & Szimayer, Alexander, 2003. "Elliptical copulas: applicability and limitations," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 275-286, July.
  30. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
  31. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
  32. Landsman, Zinoviy, 2002. "Credibility theory: a new view from the theory of second order optimal statistics," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 351-362, June.
  33. De Vries, C.G., 2005. "The simple economics of bank fragility," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 803-825, April.
  34. Grothe, Oliver & Schmidt, Rafael, 2010. "Scaling of Lévy–Student processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1455-1463.
  35. Niklas Wagner & Terry Marsh, 2004. "Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models," Statistical Papers, Springer, vol. 45(4), pages 545-561, October.
  36. P. B. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 111-136.
  37. Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011. "Reduce computation in profile empirical likelihood method," MPRA Paper 33744, University Library of Munich, Germany.
  38. Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
  39. Liu, Liping, 2004. "A new foundation for the mean-variance analysis," European Journal of Operational Research, Elsevier, vol. 158(1), pages 229-242, October.
  40. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
  41. Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.
  43. Blenman, L. P. & Cantrell, R. S. & Fennell, R. E. & Parker, D. F. & Reneke, J. A. & Wang, L. F. S. & Womer, N. K., 1995. "An alternative approach to stochastic calculus for economic and financial models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 553-568, April.
  44. Daniel Ledermann, 2011. "ROM Simulation with Rotation Matrices," ICMA Centre Discussion Papers in Finance icma-dp2011-06, Henley Business School, Reading University.
  45. Fotopoulos, Stergios B. & Jandhyala, Venkata K., 2004. "Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 117-125, January.
  46. Hurlimann, Werner, 2004. "Fitting bivariate cumulative returns with copulas," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 355-372, March.
  47. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
  48. Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.
  49. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers 66, Banque de France.
  50. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  51. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
  52. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
  53. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.
  54. Zou, Yongjie & Li, Honggang, 2014. "Time spans between price maxima and price minima in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 303-309.
  55. Ole E. Barndorff-Nielsen & Neil Shephard, 2012. "Basics of Levy processes," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.
  56. Suárez-García, Pablo & Gómez-Ullate, David, 2013. "Scaling, stability and distribution of the high-frequency returns of the Ibex35 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1409-1417.
  57. Kais Hamza & Fima C. Klebaner & Zinoviy Landsman & Ying-Oon Tan, 2014. "Option Pricing for Symmetric L\'evy Returns with Applications," Papers 1402.1554, arXiv.org.
  58. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  59. Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
  60. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
  61. Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
  62. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
  63. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, August.
  64. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  65. Bhattacharyya, Malay & Madhav R, Siddarth, 2012. "A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns," MPRA Paper 54189, University Library of Munich, Germany.
  66. Errunza, Vihang & Hogan, Kedreth Jr. & Mazumdar, Sumon C., 1996. "Behavior of international stock return distributions: A simple test of functional form," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 51-61.
  67. Epaminondas Panas & Vassilia Ninni, 2010. "The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 192-210.
  68. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2).
  69. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1631-1660, October.
  70. Pablo Su\'arez-Garc\'ia & David G\'omez-Ullate, 2012. "Scaling, stability and distribution of the high-frequency returns of the IBEX35 index," Papers 1208.0317, arXiv.org.
  71. Gurgul, Henryk & Mestel, Roland & Wójtowicz, Tomasz, 2007. "Distribution of Volume on the American Stock Market," MPRA Paper 68572, University Library of Munich, Germany, revised 2007.
  72. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
  73. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  74. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 119-135.
  75. Akio Namba & Kazuhiro Ohtani, 2007. "Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion," Statistical Papers, Springer, vol. 48(1), pages 151-162, January.
  76. Cassidy, Daniel T. & Hamp, Michael J. & Ouyed, Rachid, 2010. "Pricing European options with a log Student’s t-distribution: A Gosset formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5736-5748.
  77. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics Working Papers 2000-05, University of Adelaide, School of Economics.
  78. Susmel, Raul, 2001. "Extreme observations and diversification in Latin American emerging equity markets," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 971-986, December.
  79. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  80. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
  81. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  82. Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2010. "Aggregational Gaussianity And Barely Infinite Variance In Crop Prices," DEOS Working Papers 1001, Athens University of Economics and Business.
  83. Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer, vol. 13(3), pages 261-295, September.
  84. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
  85. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
  86. Akio Namba, 2001. "MSE performance of the 2SHI estimator in a regression model with multivariate t error terms," Statistical Papers, Springer, vol. 42(1), pages 81-96, January.
  87. Raugh, Michael T. & Seccia, Giulio, 2001. "Mean-variance analysis in temporary equilibrium," Research in Economics, Elsevier, vol. 55(3), pages 331-345, September.
  88. Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(1), pages 103, February.
  89. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, August.
  90. Shuangzhe Liu & Chris Heyde & Wing-Keung Wong, 2011. "Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models," Statistical Papers, Springer, vol. 52(3), pages 621-632, August.
  91. Karvanen, Juha, 2006. "Estimation of quantile mixtures via L-moments and trimmed L-moments," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 947-959, November.
  92. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation for Research in Economics, Yale University.
  93. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
  94. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June.
  95. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, . "Statistical Modeling of Stock Returns: A Historical Survey with Methodological Reflections," DEOS Working Papers 1226, Athens University of Economics and Business.
  96. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May.
  97. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2014. "Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas," DEOS Working Papers 1409, Athens University of Economics and Business.
  98. Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed, 2010. "Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae," Papers 1003.1344, arXiv.org, revised Jul 2010.
  99. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
  100. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
  101. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
  102. Rustam Ibragimov & Johan Walden, 2010. "Optimal Bundling Strategies Under Heavy-Tailed Valuations," Management Science, INFORMS, vol. 56(11), pages 1963-1976, November.
  103. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  104. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
  105. Pitt, M.K. & Walker, S.G., 2001. "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS) 595, University of Warwick, Department of Economics.
  106. Böhmer, Ekkehart & Sperlich, Stefan, 1997. "Risikomessung mit VaR für Portfolios: Diskussion und empirischer Vergleich verschiedener Berechnungsmethoden," SFB 373 Discussion Papers 1997,64, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  107. Felipe Aparicio & Javier Estrada, 2001. "Empirical distributions of stock returns: European securities markets, 1990-95," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 1-21.
  108. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney.
  109. J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
  110. M. F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 201-206.
  111. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
  112. Joshua Seungwook Bahng, 2004. "Structural Breaks and the Normality of Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(II), pages 207-227, June.
  113. S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
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