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The marginal distributions of returns and volatility
14 references·1 citing·30 second hop
The marginal distributions of returns and volatility (1997)The marginal distributions of returns and…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…The variation of certain speculative prices (1997)The variation of certain spec…The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…The Variation of Some Other Speculative Prices (1967)The Variation of Some Other S…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX (2004)MODELING THE VOLATILITY AND E…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited

Cited by

  • 2004MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX33 cited

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