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Empirical distributions of stock returns: between the stretched exponential and the power law?
16 references·11 citing·35 second hop
Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Empirical distributions of stock returns:…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…What good is a volatility model? (2001)What good is a volatility mod…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales (1998)Stretched exponential distrib…The variation of certain speculative prices (1997)The variation of certain spec…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Modelling Extremal Events (1997)Modelling Extremal EventsScaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…ESG, risk, and (tail) dependence (2023)ESG, risk, and (tail) depende…Stable mixture GARCH models (2012)Stable mixture GARCH modelsFinancial Economics, Fat-Tailed Distributions (2011)Financial Economics, Fat-Tail…Dragon-Kings, Black Swans and the Prediction of Crises (2009)Dragon-Kings, Black Swans and…Emergent Macroeconomics: An Agent-Based Approach to Business Fluctuations (2008)Emergent Macroeconomics: An A…A General Strategy for Physics-Based Model Validation Illustrated with Earthquake Phenomenology, Atmospheric Radiative Transfer, and Computational Fluid Dynamics (2008)A General Strategy for Physic…Empirical distributions of Chinese stock returns at different microscopic timescales (2007)Empirical distributions of Ch…Self-organizing Ising model of financial markets (2006)Self-organizing Ising model o…Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets (2006)Importance of positive feedba…Higher-Moment Portfolio Theory (2005)Higher-Moment Portfolio TheoryTesting the Gaussian Copula Hypothesis for Financial Assets Dependences (2001)Testing the Gaussian Copula H…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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? 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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
  • 1997Modelling Extremal Events4,397 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1998Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales

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836 cited
  • 2001What good is a volatility model?691 cited
  • Cited by

    • 2006Self-organizing Ising model of financial markets147 cited
    • 2008Emergent Macroeconomics: An Agent-Based Approach to Business Fluctuations125 cited
    • 2009Dragon-Kings, Black Swans and the Prediction of Crises113 cited
    • 2006Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets103 cited
    • 2007Empirical distributions of Chinese stock returns at different microscopic timescales82 cited
    • 2023ESG, risk, and (tail) dependence61 cited
    • 2012Stable mixture GARCH models60 cited
    • 2011Financial Economics, Fat-Tailed Distributions40 cited
    • 2005Higher-Moment Portfolio Theory39 cited
    • 2001Testing the Gaussian Copula Hypothesis for Financial Assets Dependences28 cited
    • 2008A General Strategy for Physics-Based Model Validation Illustrated with Earthquake Phenomenology, Atmospheric Radiative Transfer, and Computational Fluid Dynamics15 cited