SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Distribution of Stock Returns
8 references·16 citing·29 second hop
The Distribution of Stock Returns (1972)The Distribution of Stock ReturnsThe variation of certain speculative prices (1997)The variation of certain spec…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…The Random Character of Stock Market Prices (1968)The Random Character of Stock…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…The Random Character of Stock Market Prices. (1965)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Diversification and portfolio theory: a review (2020)Diversification and portfolio…The virtues and vices of equilibrium and the future of financial economics (2008)The virtues and vices of equi…An empirical behavioral model of liquidity and volatility (2007)An empirical behavioral model…What really causes large price changes? (2004)What really causes large pric…Price fluctuations, market activity and trading volume (2001)Price fluctuations, market ac…Empirical distributions of stock returns: European securities markets, 1990-95 (2001)Empirical distributions of st…Estimating the Density Tail Index for Financial Time Series (1997)Estimating the Density Tail I…Maximum likelihood estimation of a GARCH‐stable model (1995)Maximum likelihood estimation…Modeling asset returns with alternative stable distributions (1993)Modeling asset returns with a…The Distribution of Stock Returns: New Evidence Against the Stable Model (1990)The Distribution of Stock Ret…The Stable-Law Model of Stock Returns (1988)The Stable-Law Model of Stock…On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index (1988)On Measuring Skewness and Elo…A General Distribution for Describing Security Price Returns (1987)A General Distribution for De…MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS (1978)MORE EVIDENCE ON THE DISTRIBU…The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models (1977)The Distribution of Common St…On the Stable Paretian Behavior of Stock-Market Prices (1974)On the Stable Paretian Behavi…Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Stylized facts of financial time series and hidden semi-Markov models (2006)Comparing density forecast models (2007)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Théorie de la spéculation (1900)Option Pricing With V. G. Martingale Components1 (1991)How Are Derivatives Used? Evidence from the Mutual Fund Industry (1999)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)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)The impact of heterogeneous trading rules on the limit order book and order flows (2008)Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE (1970)Technical Analysis in Financial Markets (2004)Multifractal analysis of financial markets: a review (2019)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 1965The Random Character of Stock Market Prices.382 cited

Cited by

  • 1993Modeling asset returns with alternative stable distributions290 cited
  • 2004What really causes large price changes?276 cited
  • 2007An empirical behavioral model of liquidity and volatility261 cited
  • 1988The Stable-Law Model of Stock Returns240 cited
  • 1974On the Stable Paretian Behavior of Stock-Market Prices230 cited
  • 1987A General Distribution for Describing Security Price Returns162 cited
  • 2008The virtues and vices of equilibrium and the future of financial economics157 cited
  • 1977The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

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

152 cited
  • 1990The Distribution of Stock Returns: New Evidence Against the Stable Model140 cited
  • 1988On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index135 cited
  • 1997Estimating the Density Tail Index for Financial Time Series135 cited
  • 1995Maximum likelihood estimation of a GARCH‐stable model119 cited
  • 2001Price fluctuations, market activity and trading volume117 cited
  • 2001Empirical distributions of stock returns: European securities markets, 1990-95112 cited
  • 2020Diversification and portfolio theory: a review105 cited
  • 1978MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS104 cited