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An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks
10 references·1 citing·28 second hop
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks (2005)An Empirical Examination of Daily Stock R…Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed dist…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…The variation of certain speculative prices (1997)The variation of certain spec…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…The Stable-Law Model of Stock Returns (1988)The Stable-Law Model of Stock…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (2012)Sensitivity of portfolio VaR …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)Models for construction of multivariate dependence – a comparison study (2008)Tail dependence functions and vine copulas (2009)Modelling oil price and exchange rate co-movements (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Series Representations of Lévy Processes from the Perspective of Point Processes (2001)Modeling Financial Data with Stable Distributions (2003)The Distribution of Stock Returns: New Evidence Against the Stable Model (1990)Estimating the Density Tail Index for Financial Time Series (1997)Measuring Tail Thickness to Estimate the Stable Index α: A Critique (1997)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)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1993Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes490 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited
  • 1988The Stable-Law Model of Stock Returns240 cited

Cited by

  • 2012Sensitivity of portfolio VaR and CVaR to portfolio return characteristics45 cited

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