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THE STABLE-LAW MODEL OF STOCK RETURNS
被引:91
作者
:
AKGIRAY, V
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,COLL BUSINESS ADM,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,COLL BUSINESS ADM,BATON ROUGE,LA 70803
AKGIRAY, V
[
1
]
BOOTH, GG
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,COLL BUSINESS ADM,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,COLL BUSINESS ADM,BATON ROUGE,LA 70803
BOOTH, GG
[
1
]
机构
:
[1]
LOUISIANA STATE UNIV,COLL BUSINESS ADM,BATON ROUGE,LA 70803
来源
:
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
|
1988年
/ 6卷
/ 01期
关键词
:
D O I
:
10.2307/1391417
中图分类号
:
F [经济];
学科分类号
:
02 ;
摘要
:
引用
收藏
页码:51 / 57
页数:7
相关论文
共 17 条
[1]
[Anonymous], 1971, THESIS YALE U
[2]
COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES
[J].
BLATTBERG, RC
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
BLATTBERG, RC
;
GONEDES, NJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
GONEDES, NJ
.
JOURNAL OF BUSINESS,
1974,
47
(02)
:244
-280
[3]
ESTIMATING THE STABLE INDEX-ALPHA IN ORDER TO MEASURE TAIL THICKNESS - A CRITIQUE
[J].
DUMOUCHEL, WH
论文数:
0
引用数:
0
h-index:
0
DUMOUCHEL, WH
.
ANNALS OF STATISTICS,
1983,
11
(04)
:1019
-1031
[4]
1977 RIETZ LECTURE - BOOTSTRAP METHODS - ANOTHER LOOK AT THE JACKKNIFE
[J].
EFRON, B
论文数:
0
引用数:
0
h-index:
0
EFRON, B
.
ANNALS OF STATISTICS,
1979,
7
(01)
:1
-26
[5]
PARAMETER ESTIMATES FOR SYMMETRIC STABLE DISTRIBUTIONS
[J].
FAMA, EF
论文数:
0
引用数:
0
h-index:
0
FAMA, EF
;
ROLL, R
论文数:
0
引用数:
0
h-index:
0
ROLL, R
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1971,
66
(334)
:331
-338
[6]
THE BEHAVIOR OF STOCK-MARKET PRICES
[J].
FAMA, EF
论文数:
0
引用数:
0
h-index:
0
FAMA, EF
.
JOURNAL OF BUSINESS,
1965,
38
(01)
:34
-105
[7]
Feller W., 2008, INTRO PROBABILITY TH
[8]
STABLE-DISTRIBUTIONS AND THE MIXTURES OF DISTRIBUTIONS HYPOTHESES FOR COMMON-STOCK RETURNS
[J].
FIELITZ, BD
论文数:
0
引用数:
0
h-index:
0
FIELITZ, BD
;
ROZELLE, JP
论文数:
0
引用数:
0
h-index:
0
ROZELLE, JP
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1983,
78
(381)
:28
-36
[9]
STABLE PARETIAN BEHAVIOR OF STOCK-MARKET PRICES
[J].
HSU, DA
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,DEPT CIVIL & GEOL ENGN,PRINCETON,NJ 08540
HSU, DA
;
MILLER, RB
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,DEPT CIVIL & GEOL ENGN,PRINCETON,NJ 08540
MILLER, RB
;
WICHERN, DW
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,DEPT CIVIL & GEOL ENGN,PRINCETON,NJ 08540
WICHERN, DW
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1974,
69
(345)
:108
-113
[10]
REGRESSION-TYPE ESTIMATION OF THE PARAMETERS OF STABLE LAWS
[J].
KOUTROUVELIS, IA
论文数:
0
引用数:
0
h-index:
0
KOUTROUVELIS, IA
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1980,
75
(372)
:918
-928
←
1
2
→
共 17 条
[1]
[Anonymous], 1971, THESIS YALE U
[2]
COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES
[J].
BLATTBERG, RC
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
BLATTBERG, RC
;
GONEDES, NJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA
GONEDES, NJ
.
JOURNAL OF BUSINESS,
1974,
47
(02)
:244
-280
[3]
ESTIMATING THE STABLE INDEX-ALPHA IN ORDER TO MEASURE TAIL THICKNESS - A CRITIQUE
[J].
DUMOUCHEL, WH
论文数:
0
引用数:
0
h-index:
0
DUMOUCHEL, WH
.
ANNALS OF STATISTICS,
1983,
11
(04)
:1019
-1031
[4]
1977 RIETZ LECTURE - BOOTSTRAP METHODS - ANOTHER LOOK AT THE JACKKNIFE
[J].
EFRON, B
论文数:
0
引用数:
0
h-index:
0
EFRON, B
.
ANNALS OF STATISTICS,
1979,
7
(01)
:1
-26
[5]
PARAMETER ESTIMATES FOR SYMMETRIC STABLE DISTRIBUTIONS
[J].
FAMA, EF
论文数:
0
引用数:
0
h-index:
0
FAMA, EF
;
ROLL, R
论文数:
0
引用数:
0
h-index:
0
ROLL, R
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1971,
66
(334)
:331
-338
[6]
THE BEHAVIOR OF STOCK-MARKET PRICES
[J].
FAMA, EF
论文数:
0
引用数:
0
h-index:
0
FAMA, EF
.
JOURNAL OF BUSINESS,
1965,
38
(01)
:34
-105
[7]
Feller W., 2008, INTRO PROBABILITY TH
[8]
STABLE-DISTRIBUTIONS AND THE MIXTURES OF DISTRIBUTIONS HYPOTHESES FOR COMMON-STOCK RETURNS
[J].
FIELITZ, BD
论文数:
0
引用数:
0
h-index:
0
FIELITZ, BD
;
ROZELLE, JP
论文数:
0
引用数:
0
h-index:
0
ROZELLE, JP
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1983,
78
(381)
:28
-36
[9]
STABLE PARETIAN BEHAVIOR OF STOCK-MARKET PRICES
[J].
HSU, DA
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,DEPT CIVIL & GEOL ENGN,PRINCETON,NJ 08540
HSU, DA
;
MILLER, RB
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,DEPT CIVIL & GEOL ENGN,PRINCETON,NJ 08540
MILLER, RB
;
WICHERN, DW
论文数:
0
引用数:
0
h-index:
0
机构:
PRINCETON UNIV,DEPT CIVIL & GEOL ENGN,PRINCETON,NJ 08540
WICHERN, DW
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1974,
69
(345)
:108
-113
[10]
REGRESSION-TYPE ESTIMATION OF THE PARAMETERS OF STABLE LAWS
[J].
KOUTROUVELIS, IA
论文数:
0
引用数:
0
h-index:
0
KOUTROUVELIS, IA
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1980,
75
(372)
:918
-928
←
1
2
→