Heavy‐Tailed and Stable Distributions in Financial Econometrics

OTHER published 2 January 2012 in Financial Econometrics

The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions

JOURNAL ARTICLE published October 2012 in Applied Financial Economics

Authors: F. Pizzutilo

STABLE DISTRIBUTIONS AND THE MIXTURE OF DISTRIBUTIONS HYPOTHESIS FOR COMMON STOCK RETURNS

JOURNAL ARTICLE published July 1982 in Financial Review

Authors: Bruce D. Fielitz | James P. Rozelle

Financial Models in Discrete Time

OTHER published 20 July 2012 in Financial Statistics and Mathematical Finance

Choosing Investment Portfolios When the Returns Have Stable Distributions

BOOK CHAPTER published July 2013 in Handbook of the Fundamentals of Financial Decision Making

Authors: W. T. Ziemba

Empirical distributions of stock returns: Paris stock market, 1980–2003

JOURNAL ARTICLE published September 2008 in Applied Financial Economics

Authors: Stella Kanellopoulou | Epaminondas Panas

Size, value, and momentum in international stock returns

JOURNAL ARTICLE published September 2012 in Journal of Financial Economics

Authors: Eugene F. Fama | Kenneth R. French

Functioning of Financial Markets and Theoretical Models for Returns

BOOK CHAPTER published in Springer Finance

Cash holdings, risk, and expected returns

JOURNAL ARTICLE published April 2012 in Journal of Financial Economics

Authors: Berardino Palazzo

Limit Theory for Discrete‐Time Processes

OTHER published 20 July 2012 in Financial Statistics and Mathematical Finance

Investment behaviours and IPO returns: evidence from Taiwan

JOURNAL ARTICLE published August 2012 in Applied Financial Economics

Authors: Jin-Ying Wang

Geographic dispersion and stock returns

JOURNAL ARTICLE published December 2012 in Journal of Financial Economics

Authors: Diego García | Øyvind Norli

Marginal Distributions of Returns

BOOK CHAPTER published in Extreme Financial Risks

The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks

JOURNAL ARTICLE published December 1996 in Applied Financial Economics

Authors: Thomas Lux

Intertemporal relations between the market volatility index and stock index returns

JOURNAL ARTICLE published June 2012 in Applied Financial Economics

Authors: Ghulam Sarwar

Displacement risk and asset returns

JOURNAL ARTICLE published September 2012 in Journal of Financial Economics

Authors: Nicolae Gârleanu | Leonid Kogan | Stavros Panageas

Modeling Maximum Entropy Distributions for Financial Returns by Moment Combination and Selection

JOURNAL ARTICLE published 1 April 2015 in Journal of Financial Econometrics

Authors: Y.-T. Chen

Suitable Distributions for Returns

OTHER published 28 December 2012 in Financial Risk Modelling and Portfolio Optimization with R

Endogenous technological progress and the cross-section of stock returns

JOURNAL ARTICLE published February 2012 in Journal of Financial Economics

Authors: Xiaoji Lin

When do high stock returns trigger equity issues?

JOURNAL ARTICLE published January 2012 in Journal of Financial Economics

Authors: Aydoğan Altı | Johan Sulaeman