AUTOREGRESSIVE JUMP PROCESS FOR COMMON STOCK RETURNS

被引：44

作者：

OLDFIELD, GS

ROGALSKI, RJ

JARROW, RA

机构：

[1] CORNELL UNIV, ITHACA, NY 14853 USA

[2] DARTMOUTH COLL, HANOVER, NH 03755 USA

[3] MIT, CAMBRIDGE, MA 02139 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1977年 / 5卷 / 03期

关键词：

D O I：

10.1016/0304-405X(77)90045-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：389 / 418

页数：30

共 22 条

[1] A TEST OF GOODNESS OF FIT [J].

ANDERSON, TW ;

DARLING, DA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1954, 49 (268) :765-769

[2]

Bachelier L., 1900, THEORIE SPECULATION

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[4] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J].

BLATTBERG, RC ;

GONEDES, NJ .

JOURNAL OF BUSINESS, 1974, 47 (02) :244-280

[5] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].

CLARK, PK .

ECONOMETRICA, 1973, 41 (01) :135-155

[6]

Cox D., 1965, THEORY STOCHASTIC PR, DOI 10.1201/9780203719152

[7]

COX JC, 1975, 275 U PENNS RL WHIT

[8] THE BEHAVIOR OF STOCK-MARKET PRICES [J].

FAMA, EF .

JOURNAL OF BUSINESS, 1965, 38 (01) :34-105

[9] MANDELBROT AND THE STABLE PARETIAN HYPOTHESIS [J].

FAMA, EF .

JOURNAL OF BUSINESS, 1963, 36 (04) :420-429

[10]

Feller W., 1966, INTRO PROBABILITY TH, V2

← 1 2 3 →