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Asymmetric Stable Distributed Security Returns
12 references·11 citing·32 second hop
Asymmetric Stable Distributed Security Returns (1980)Asymmetric Stable Distributed Security Re…The variation of certain speculative prices (1997)The variation of certain spec…Diversification in a Three-Moment World (1978)Diversification in a Three-Mo…Foundations of Finance. (1977)Foundations of Finance.Skewness and Investors' Decisions (1975)Skewness and Investors' Decis…Estimation of Stable Law Parameters: Stock Price Behavior Application (1975)Estimation of Stable Law Para…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Distribution of Stock Returns (1972)The Distribution of Stock Ret…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Portfolio Analysis in a Stable Paretian Market (1965)Portfolio Analysis in a Stabl…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Theoretical and experimental examinations of target-based decision making (2015)Theoretical and experimental …Modeling and Forecasting Volatility of the Malaysian Stock Markets (2009)Modeling and Forecasting Vola…Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution (2008)Estimation Risk-Adjusted Shar…Volume and skewness in international equity markets (2007)Volume and skewness in intern…Co‐skewness and Co‐kurtosis in Global Real Estate Securities (2005)Co‐skewness and Co‐kurtosis i…A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002)A New Class of Multivariate S…Modelling skewness dynamics in series of financial data using skewed location-scale distributions (2001)Modelling skewness dynamics i…Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange (2001)Estimating fractal dimension …Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges (1991)Empirical evidence on the cap…Asymmetry in Australian Equity Returns (1986)Asymmetry in Australian Equit…Market Models and Heteroscedasticity of Residual Security Returns (1983)Market Models and Heterosceda…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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Portfolio selection with skewness: A multiple-objective approach (1991)Stock Options as Lotteries (2014)Do Stocks Outperform Treasury Bills? (2017)Brownian Motion in the Stock Market (1959)A Simplified Model for Portfolio Analysis (1963)RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS (1968)Multiperiod Consumption-Investment Decisions (1975)Portfolio selection and skewness: Evidence from international stock markets (1997)Modeling asset returns with alternative stable distributions (1993)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)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)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)
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
  • 1977Foundations of Finance.1,128 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1965Portfolio Analysis in a Stable Paretian Market468 cited
  • 1972The Distribution of Stock Returns311 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 1975Estimation of Stable Law Parameters: Stock Price Behavior Application58 cited
  • 1975Skewness and Investors' Decisions56 cited

Cited by

  • 2001Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange87 cited
  • 2007Volume and skewness in international equity markets41 cited
  • 2009Modeling and Forecasting Volatility of the Malaysian Stock Markets39 cited
  • 2002

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A New Class of Multivariate Skew Densities, with Application to GARCH Models
36 cited
  • 2001Modelling skewness dynamics in series of financial data using skewed location-scale distributions30 cited
  • 1983Market Models and Heteroscedasticity of Residual Security Returns29 cited
  • 1991Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges28 cited
  • 2008Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution22 cited
  • 2005Co‐skewness and Co‐kurtosis in Global Real Estate Securities21 cited
  • 1986Asymmetry in Australian Equity Returns21 cited
  • 2015Theoretical and experimental examinations of target-based decision making0 cited