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Statistical models of German stock returns
16 references·0 citing·31 second hop
Statistical models of German stock returns (1989)Statistical models of German stock returnsAllgemeines Statistisches Archiv (2005)Allgemeines Statistisches Arc…The variation of certain speculative prices (1997)The variation of certain spec…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…The Stable-Law Model of Stock Returns (1988)The Stable-Law Model of Stock…The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes (1988)The Probability Distribution …COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON (1987)COMPOUND DISTRIBUTION MODELS …A General Distribution for Describing Security Price Returns (1987)A General Distribution for De…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)On Jumps in Common Stock Pric…Models of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…Jump Risks and the Intertemporal Capital Asset Pricing Model (1984)Jump Risks and the Intertempo…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Die Betriebswirtschaft (1953)Die BetriebswirtschaftEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Introductory Econometrics for Finance (2008)The Information Content of Annual Earnings Announcements (1968)Measuring security price performance (1980)Correlations in Price Changes and Volatility across International Stock Markets (1990)Empirical properties of asset returns: stylized facts and statistical issues (2001)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)Risk, Return, and Equilibrium: Empirical Tests (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Relation Between Price Changes and Trading Volume: A Survey (1987)An assessment of the use of partial least squares structural equation modeling in marketing research (2011)Multigroup Analysis in Partial Least Squares (PLS) Path Modeling: Alternative Methods and Empirical Results (2011)School Bullying: Development and Some Important Challenges (2013)The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)Shadow Economies: Size, Causes, and Consequences (2000)Start-ups by the unemployed: characteristics, survival and direct employment effects (2009)
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References

  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1953Die Betriebswirtschaft4,599 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 2005Allgemeines Statistisches Archiv435 cited
  • 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing409 cited
  • 1984Jump Risks and the Intertemporal Capital Asset Pricing Model245 cited
  • 1988The Stable-Law Model of Stock Returns240 cited
  • 1987A General Distribution for Describing Security Price Returns162 cited
  • 1988The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes106 cited
  • 1987

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COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON
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