Two tests of the erogodicity of monthly security return distributions

Omega ◽

10.1016/0305-0483(74)90011-5 ◽

1974 ◽

Vol 2 (1) ◽

pp. 119-126 ◽

Author(s):

Jerome B Baesel

Keyword(s):

Security Return ◽

Return Distributions

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Some Empirical Evidence on the Intertemporal Stationarity of Security Return Distributions

Accounting and Business Research ◽

10.1080/00014788.1986.9729780 ◽

1986 ◽

Vol 17 (65) ◽

pp. 43-48 ◽

Author(s):

George P. Diacogiannis

Keyword(s):

Empirical Evidence ◽

Security Return ◽

Return Distributions

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SECURITY RETURN DISTRIBUTIONS AND MARKET STRUCTURE: EVIDENCE FROM THE NYSE/AMEX AND THE NASDAQ MARKETS

The Journal of Financial Research ◽

10.1111/j.1475-6803.1993.tb00141.x ◽

1993 ◽

Vol 16 (3) ◽

pp. 209-220 ◽

Author(s):

Raj Aggarwal ◽

Reena Aggarwal

Keyword(s):

Market Structure ◽

Security Return ◽

Return Distributions

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Expansion methods applied to asset return distributions

The Journal of Risk ◽

10.21314/jor.2007.167 ◽

2007 ◽

Vol 10 (2) ◽

pp. 3-24 ◽

Author(s):

Kohei Marumo ◽

Rodney Wolff

Keyword(s):

Asset Return ◽

Return Distributions

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Estimating Flexible, Fat-Tailed Conditional Asset Return Distributions

SSRN Electronic Journal ◽

10.2139/ssrn.1735522 ◽

2012 ◽

Author(s):

Craig A. Friedman ◽

Yangyong Zhang ◽

Wenbo Cao

Keyword(s):

Asset Return ◽

Return Distributions

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Forecasting Value-at-Risk Using Time Varying Copulas and EVT Return Distributions

SSRN Electronic Journal ◽

10.2139/ssrn.2139452 ◽

2012 ◽

Author(s):

Theo Berger ◽

Martin Missong

Keyword(s):

At Risk ◽

Value At Risk ◽

Time Varying ◽

Return Distributions

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Interacting Biases, Non-Normal Return Distributions and the Performance of Parametric and Bootstrap Tests for Long-Horizon Event Studies

SSRN Electronic Journal ◽

10.2139/ssrn.315 ◽

1997 ◽

Author(s):

Arnold R. Cowan ◽

Anne M.A. Sergeant

Keyword(s):

Event Studies ◽

Bootstrap Tests ◽

Return Distributions

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On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index

The Journal of Business ◽

10.1086/296443 ◽

1988 ◽

Vol 61 (4) ◽

pp. 451 ◽

Author(s):

S. G. Badrinath ◽

Sangit Chatterjee

Keyword(s):

Stock Return ◽

Common Stock ◽

Market Index ◽

Return Distributions

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Explaining stock return distributions via an agent-based model

Nonlinear Dynamics ◽

10.1007/s11071-021-06566-1 ◽

2021 ◽

Author(s):

Shaheen Seedat ◽

Shirley Abelman

Keyword(s):

Stock Return ◽

Agent Based Model ◽

Agent Based ◽

Return Distributions

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Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparison to the U.S. and U.K.

Journal of Real Estate Portfolio Management ◽

10.1080/10835547.2004.12089691 ◽

2004 ◽

Vol 10 (1) ◽

pp. 59-76 ◽

Author(s):

Maurer Raimond ◽

Reiner Frank ◽

Sebastian Steffen

Keyword(s):

Real Estate ◽

Return Distributions ◽

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New statistic for financial return distributions: Power-law or exponential?

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2005.10.015 ◽

2006 ◽

Vol 366 ◽

pp. 387-400 ◽

Author(s):

V. Pisarenko ◽

D. Sornette

Keyword(s):

Power Law ◽

Financial Return ◽

Return Distributions

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