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EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS
7 references·14 citing·41 second hop
EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS (1990)EMPIRICAL COMPARISONS OF DISTRIBUTIONAL M…The variation of certain speculative prices (1997)The variation of certain spec…Index Options: The Early Evidence (1985)Index Options: The Early Evid…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Théorie de la spéculation (1900)Théorie de la spéculationThe Capital Asset Pricing Model (2021)The Capital Asset Pricing Mod…Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management (2021)Empirical distribution of dai…Empirical distributions of daily equity index returns: A comparison (2016)Empirical distributions of da…Fables of the Reconstruction: Human Emotion and Behavioral Heuristics in Environmental Economics (2015)Fables of the Reconstruction:…Conditional Sharpe Ratios (2014)Conditional Sharpe RatiosA Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns (2012)A Comparison of VaR Estimatio…Financial Economics, Fat-Tailed Distributions (2011)Financial Economics, Fat-Tail…The CAPM is Alive and Well: A Review and Synthesis (2009)The CAPM is Alive and Well: A…Can the student‐t distribution provide accurate value at risk? (2006)Can the student‐t distributio…The negative news threshold—An explanation for negative skewness in stock returns (2005)The negative news threshold—A…Asset Return Distributions and the Investment Horizon (2004)Asset Return Distributions an…An analysis of the distribution of extreme returns in the UK from 1975 to 2000 (2004)An analysis of the distributi…The empirical distribution of stock returns: evidence from an emerging European market (2001)The empirical distribution of…Empirical Distributions of Stock Returns: European Securities Markets, 1990-95 (1997)Empirical Distributions of St…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Determinants of market beta: the impacts of firm-specific accounting figures and market conditions (2013)The evolution of capital asset pricing models (2013)Mean-variance portfolio methods for energy policy risk management (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Comonotonic Approximations for Optimal Portfolio Selection Problems (2005)Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (2005)Multi-stock portfolio optimization under prospect theory (2012)Theory of games and economic behavior (2019)Theory of Rational Option Pricing (1973)Put-Call Parity and Expected Returns (1991)Efficiency in index options markets and trading in stock baskets (2001)Index Option Prices and Stock Market Momentum (2004)The Variation of Certain Speculative Prices (1963)Judgment under Uncertainty (1982)Modelling the distribution of the extreme share returns in Singapore (2008)Statistical Characteristics of Cost Contingency in Water Infrastructure Projects (2014)Multiple risk measures for multivariate dynamic heavy–tailed models (2017)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)Long-term dependence in common stock returns (1977)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Distribution of Stock Return Volatility (2000)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1900Théorie de la spéculation2,605 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
  • 1985Index Options: The Early Evidence103 cited

Cited by

  • 2009The CAPM is Alive and Well: A Review and Synthesis83 cited
  • 2004Asset Return Distributions and the Investment Horizon75 cited
  • 2004An analysis of the distribution of extreme returns in the UK from 1975 to 200051 cited
  • 2011Financial Economics, Fat-Tailed Distributions40 cited
  • 2006Can the student‐t distribution provide accurate value at risk?36 cited
  • 2005The negative news threshold—An explanation for negative skewness in stock returns34 cited
  • 2016Empirical distributions of daily equity index returns: A comparison26 cited
  • 1997Empirical Distributions of Stock Returns: European Securities Markets, 1990-9524 cited

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  • 2021Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management23 cited
  • 2021The Capital Asset Pricing Model21 cited
  • 2001The empirical distribution of stock returns: evidence from an emerging European market20 cited
  • 2014Conditional Sharpe Ratios17 cited
  • 2012A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns16 cited
  • 2015Fables of the Reconstruction: Human Emotion and Behavioral Heuristics in Environmental Economics0 cited