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EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS · Study

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ArticleEMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS

J. Brian Gray1990

Article1990

EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS

J. Brian Gray · Dan W. French

90 citations·0/0 files stored·Journal of Business Finance &amp Accounting

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1997The variation of certain speculative prices 1900Théorie de la spéculation 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 1963Mandelbrot and the Stable Paretian Hypothesis 1972The Distribution of Share Price Changes 1985Index Options: The Early Evidence

Cited by

2009The CAPM is Alive and Well: A Review and Synthesis 2004Asset Return Distributions and the Investment Horizon 2004An analysis of the distribution of extreme returns in the UK from 1975 to 2000 2011Financial Economics, Fat-Tailed Distributions 2006Can the student‐t distribution provide accurate value at risk?2005The negative news threshold—An explanation for negative skewness in stock returns 2016Empirical distributions of daily equity index returns: A comparison

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1994The distribution of stock returns: international evidencearticle · 6 shared references 1977An autoregressive jump process for common stock returnsarticle · 6 shared references 2006On the Distributional Characterization of Daily Log‐Returns of a World Stock Indexarticle · 5 shared references 1997Subordinated Market Index Models: A Comparisonarticle · 5 shared references 1991Option pricing for generalized distributionsarticle · 5 shared references 2002A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractabilityother · 5 shared references

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Year1990

Typearticle

Published1990-06-01

VenueJournal of Business Finance &amp Accounting

ISSN-L0306-686X

Languageen

Citations90

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1111/j.1468-5957.1990.tb01197.x

openalex_workW2011817175

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1997

Empirical Distributions of Stock Returns: European Securities Markets, 1990-95