Return Distributions in Finance
Latest Publications

TOTAL DOCUMENTS

13

(FIVE YEARS 0)

H-INDEX

4

(FIVE YEARS 0)

Published By Elsevier

9780750647519

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Testing for a finite variance in stock return distributions

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50007-2 ◽

2001 ◽

pp. 143-164 ◽

Cited By ~ 1

Author(s):

Jun Yu

Keyword(s):

Stock Return ◽

Finite Variance ◽

Return Distributions

Download Full-text

Modelling emerging market risk premia using higher moments

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50005-9 ◽

2001 ◽

pp. 75-117 ◽

Cited By ~ 5

Author(s):

Soosung Hwang ◽

Stephen E. Satchell

Keyword(s):

Emerging Market ◽

Risk Premia ◽

Market Risk ◽

Higher Moments

Download Full-text

Pricing derivatives written on assets with arbitrary skewness and kurtosis

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50010-2 ◽

2001 ◽

pp. 252-275 ◽

Cited By ~ 10

Author(s):

John L. Knight ◽

Stephen E. Satchell

Keyword(s):

Skewness And Kurtosis

Download Full-text

The probability functions of option prices, risk-neutral pricing and Value-at-Risk

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50009-6 ◽

2001 ◽

pp. 229-251

Author(s):

John L. Knight ◽

Stephen E. Satchell ◽

Guoqiang Wang

Keyword(s):

At Risk ◽

Value At Risk ◽

Option Prices ◽

Probability Functions ◽

Risk Neutral

Download Full-text

Implementing option pricing models when asset returns are predictable and discontinuous

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50008-4 ◽

2001 ◽

pp. 165-228

Author(s):

George J. Jiang

Keyword(s):

Option Pricing ◽

Asset Returns ◽

Pricing Models

Download Full-text

Modelling asset returns with hyperbolic distributions

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50002-3 ◽

2001 ◽

pp. 1-20 ◽

Cited By ~ 7

Author(s):

N.H. Bingham ◽

Rüdiger Kiesel

Keyword(s):

Asset Returns

Download Full-text

The distribution of realized returns from moving average trading rules with application to Canadian stock market data

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50011-4 ◽

2001 ◽

pp. 276-306 ◽

Cited By ~ 1

Author(s):

Alexander Fritsche

Keyword(s):

Stock Market ◽

Moving Average ◽

Trading Rules ◽

Market Data

Download Full-text

Preface

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50000-x ◽

2001 ◽

pp. ix-x

Author(s):

John Knight ◽

Stephen Satchell

Download Full-text

A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50003-5 ◽

2001 ◽

pp. 21-46 ◽

Cited By ~ 5

Author(s):

Shaun A. Bond

Keyword(s):

Conditional Density ◽

Density Functions ◽

Conditional Heteroscedasticity ◽

Autoregressive Conditional Heteroscedasticity

Download Full-text

Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988–1990

Return Distributions in Finance ◽

10.1016/b978-075064751-9.50006-0 ◽

2001 ◽

pp. 118-142 ◽

Cited By ~ 1

Author(s):

L.C.G. Rogers ◽

Stephen E. Satchell ◽

Youngjun Yoon

Keyword(s):

Empirical Analysis ◽

Stock Prices ◽

Volume Of Trade

Download Full-text