SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns
16 references·1 citing·29 second hop
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns (2005)On the power of generalized extreme value…The Econometrics of Financial Markets (2012)The Econometrics of Financial…An Introduction to Copulas (1999)An Introduction to CopulasThe variation of certain speculative prices (1997)The variation of certain spec…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Modelling Extremal Events (1997)Modelling Extremal EventsStatistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…A test for independence based on the correlation dimension (1996)A test for independence based…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Models of Man--Social and Rational (1958)Models of Man--Social and Rat…Regime switching model for financial data: Empirical risk analysis (2016)Regime switching model for fi…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)The Cross-Section of Expected Stock Returns (1992)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1958Models of Man--Social and Rational3,146 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited

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

Cited by

  • 2016Regime switching model for financial data: Empirical risk analysis22 cited