NONNORMALITIES AND TESTS OF ASSET PRICING THEORIES

被引:54
作者
AFFLECKGRAVES, J
MCDONALD, B
机构
关键词
D O I
10.2307/2328615
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:889 / 908
页数:20
相关论文
共 34 条
[1]  
Anderson T., 1984, INTRO MULTIVARIATE S
[2]  
Arrow K., 1960, CONTRIBUTIONS PROBAB
[3]  
Bachelier L, 1964, RANDOM CHARACTER STO
[4]  
Blume M. E., 1968, THESIS U CHICAGO
[5]   A GENERAL DISTRIBUTION FOR DESCRIBING SECURITY PRICE RETURNS [J].
BOOKSTABER, RM ;
MCDONALD, JB .
JOURNAL OF BUSINESS, 1987, 60 (03) :401-424
[6]   OMNIBUS TEST CONTOURS FOR DEPARTURES FROM NORMALITY BASED ON SQUARE-ROOT B1 AND B2 [J].
BOWMAN, KO ;
SHENTON, LR .
BIOMETRIKA, 1975, 62 (02) :243-250
[7]  
BOWMAN KO, 1986, GOODNESS FIT TECHNIQ
[8]  
BURGSTAHLER D, 1987, ACCOUNT REV, V62, P203
[9]   SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].
CLARK, PK .
ECONOMETRICA, 1973, 41 (01) :135-155
[10]   TESTS FOR DEPARTURE FROM NORMALITY - EMPIRICAL RESULTS FOR DISTRIBUTIONS OF B2 AND SQUARE ROOT B1 [J].
DAGOSTIN.R ;
PEARSON, ES .
BIOMETRIKA, 1973, 60 (03) :613-622