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Empirical Distributions of Stock Returns: European Securities Markets, 1990-95
16 references·1 citing·31 second hop
Empirical Distributions of Stock Returns: European Securities Markets, 1990-95 (1997)Empirical Distributions of Stock Returns:…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The variation of certain speculative prices (1997)The variation of certain spec…The distribution of stock returns: international evidence (1994)The distribution of stock ret…Chaos and order in the capital markets: a new view of cycles, prices, and market volatility (1992)Chaos and order in the capita…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Models of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Distribution of Stock Returns (1972)The Distribution of Stock Ret…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mean Reversion and the Distribution of United Kingdom Stock Index Returns (2006)Mean Reversion and the Distri…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)Measuring security price performance (1980)On estimating the expected return on the market (1980)On Jump Processes in the Foreign Exchange and Stock Markets (1988)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)The term structure of credit spreads with jump risk (2001)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)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 1972The Distribution of Stock Returns311 cited

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1994
The distribution of stock returns: international evidence
99 cited

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  • 2006Mean Reversion and the Distribution of United Kingdom Stock Index Returns20 cited