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

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

Felipe Aparicio1997

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Preprintgreen1997

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

Felipe Aparicio · Javier Estrada

24 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1965The Behavior of Stock-Market Prices 2012The Econometrics of Financial Markets 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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2006Mean Reversion and the Distribution of United Kingdom Stock Index Returns

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2001Empirical distributions of stock returns: European securities markets, 1990-95article · 15 shared references 2011Financial Economics, Fat-Tailed Distributionsother · 12 shared references 2001The empirical distribution of stock returns: evidence from an emerging European marketarticle · 11 shared references 2005The negative news threshold—An explanation for negative skewness in stock returnsarticle · 10 shared references 2008Rolling-sampled parameters of ARCH and Levy-stable modelsarticle · 9 shared references 1994Chapter 49 Arch modelschapter · 8 shared references

Details

Year1997

Typepreprint

Published1997-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.40558

openalex_workW2144238697

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