Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A model for stock return distribution

13 references·4 citing·33 second hop

FromToDepth

this work references cited by second hop

References

1965The Behavior of Stock-Market Prices8,707 cited
1963The Variation of Certain Speculative Prices4,851 cited
1993A long memory property of stock market returns and a new model3,257 cited
1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
1996Modeling volatility persistence of speculative returns: A new approach818 cited
1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
1972The Distribution of Share Price Changes533 cited
1998Stylized facts of daily return series and the hidden Markov model346 cited
1993Modeling asset returns with alternative stable distributions290 cited
199613 Financial applications of stable distributions273 cited
1995Some Properties of Absolute Return: An Alternative Measure of Risk158 cited
1997Estimating the Density Tail Index for Financial Time Series135 cited
199614 Probability distributions for financial models87 cited

Cited by

2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas78 cited
2005Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

51 cited

2016Empirical distributions of daily equity index returns: A comparison26 cited

2006Modelling and predicting market risk with Laplace–Gaussian mixture distributions26 cited