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Forecasting the density of asset returns
Ñíguez, Trino-Manuel; Perote, Javier - 2004
Persistent link: https://www.econbiz.de/10002458714
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Testing of a market fraction model and power-law behaviour in the Dax 30
He, Xue-zhong; Li, Youwei - 2015
Persistent link: https://www.econbiz.de/10011344322
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Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong; Li, Youwei - In: Journal of empirical finance 31 (2015), pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
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Estimating the risk-return trade-off with overlapping data inference
Hedegaard, Esben; Hodrick, Robert J. - In: Journal of banking & finance 67 (2016), pp. 135-145
Persistent link: https://www.econbiz.de/10011634670
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Is traditional capital market theory consistent with fat-tailed log returns?
Bamberg, Günter; Dorfleitner, Gregor - In: Journal of business economics : JBE 72 (2002) 8, pp. 865-878
Persistent link: https://www.econbiz.de/10001697901
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Skew generalized secant hyperbolic distributions : unconditional and conditional fit to asset returns
Fischer, Matthias - 2002
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to...
Persistent link: https://www.econbiz.de/10003903404
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Testing the CAPM theory based on a new model for Fama-French 25 portfolio returns
Li, Liuling; Gan, Quan; Zhuo, Ziyue; Mizrach, Bruce Marshall - In: Theoretical economics letters 4 (2014) 8, pp. 666-680
Persistent link: https://www.econbiz.de/10010531308
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Analysing the return distribution of Australian stocks : the CAPM, factor models and quantile regressions
Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Global business & economics review 15 (2013) 1, pp. 88-109
Persistent link: https://www.econbiz.de/10009708736
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Evaluating investments using higher moments
Diro Ejara, Demissew - In: Modern economy 7 (2016) 3, pp. 320-326
Persistent link: https://www.econbiz.de/10011548758