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14 Probability distributions for financial models · Study

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Chapter14 Probability distributions for financial models

James B. McDonald1996

Chapter1996

14 Probability distributions for financial models

James B. McDonald

87 citations·0/0 files stored·Handbook of statistics

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Stochastic processes and financial applications Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2019Theory of games and economic behavior 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1970On the measurement of inequality 1964Risk Aversion in the Small and in the Large 1963The Variation of Certain Speculative Prices

Cited by

2006An Econometric Analysis of Emission Trading Allowances 2001A model for stock return distribution 2010On the Tail Mean–Variance optimal portfolio selection 2006Information Quality and Options 2012Stable mixture GARCH models 2007Skew Brownian Motion and Pricing European Options 2003The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1991Option pricing for generalized distributionsarticle · 12 shared references 1994Chapter 49 Arch modelschapter · 11 shared references 2000Realistic Statistical Modelling of Financial Dataarticle · 11 shared references 1996Statistical aspects of ARCH and stochastic volatilitychapter · 10 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 10 shared references 2005Volatility Forecastingreport · 10 shared references

Details

Year1996

Typechapter

Published1996-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations87

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0169-7161(96)14016-5

openalex_workW1549370794

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2005Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions