39
Views
53
CrossRef citations to date
0
Altmetric
Application

Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns

&
Pages 28-36 | Received 01 Jun 1981, Published online: 12 Mar 2012

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (19)

Hassan A. Fallahgoul, Young S. Kim & Frank J. Fabozzi. (2016) Elliptical tempered stable distribution. Quantitative Finance 16:7, pages 1069-1087.
Read now
Greg Hannsgen. (2012) Infinite-variance, alpha-stable shocks in monetary SVAR. International Review of Applied Economics 26:6, pages 755-786.
Read now
Ercan Balaban , Jamal Ouenniche & Danae Politou. (2005) A note on return distribution of UK stock indices. Applied Economics Letters 12:9, pages 573-576.
Read now
Ayşen D. Akkaya & Moti L. Tiku. (2005) Time series AR(1) model for short-tailed distributions. Statistics 39:2, pages 117-132.
Read now
Ioannis A. Koutrouvelis & Simos G. Meintanis. (1999) Testing for stability based on the empirical characteristic funstion with applications to financial data. Journal of Statistical Computation and Simulation 64:4, pages 275-300.
Read now
M. F. Omran. (1998) An investigation of the maximal moments of exchange rates. Applied Economics Letters 5:10, pages 603-606.
Read now
M.F. Omran. (1997) Moment condition failure in stock returns: UK evidence. Applied Mathematical Finance 4:4, pages 201-206.
Read now
Amado Peiró. (1994) The distribution of stock returns: international evidence. Applied Financial Economics 4:6, pages 431-439.
Read now
Hon-Shiang Lau & Amy Hing-Ling Lau. (1993) The reliability of the stability-under-addition test for the stable-paretian hypothesis. Journal of Statistical Computation and Simulation 48:1-2, pages 67-80.
Read now
George S. Donatos & George C. Michailidis. (1993) A simulation study of least squares and ridge estimaors for normal and nonnormal autocorrelated disturbances. Journal of Statistical Computation and Simulation 47:1-2, pages 49-66.
Read now
Jenny N. Lye. (1993) A flexible parametric density estimator for multimodal distributions of test statistics. Communications in Statistics - Simulation and Computation 22:3, pages 813-830.
Read now
Susan Pozo. (1992) Are flexible exchange rates really more volatile? Evidence from the early 1900s. Applied Economics 24:11, pages 1213-1218.
Read now
Geoffrey Poitras. (1992) Testing regression disturbances for normality with stable alternatives: further monte carlo evidence. Journal of Statistical Computation and Simulation 41:1-2, pages 109-123.
Read now
AlanL. Tucker. (1992) A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns. Journal of Business & Economic Statistics 10:1, pages 73-81.
Read now
AlanJ. Izenman & CharlesJ. Sommer. (1988) Philatelic Mixtures and Multimodal Densities. Journal of the American Statistical Association 83:404, pages 941-953.
Read now
Vedat Akgiray & G. Geoffrey Booth. (1988) The Stable-Law Model of Stock Returns. Journal of Business & Economic Statistics 6:1, pages 51-57.
Read now
Tsushung A. Hua & M. Pourahmadi. (1984) Tables of cumulative distribution functions and percentiles of the standardized stable random variables. Communications in Statistics - Simulation and Computation 13:5, pages 571-601.
Read now

Articles from other publishers (34)

George S. Donatos & George C. Michailidis. 2021. Money, Trade and Finance. Money, Trade and Finance 195 221 .
Yi Liu, Huifang Liu & Lei Zhang. (2019) Modeling and forecasting return jumps using realized variation measures. Economic Modelling 76, pages 63-80.
Crossref
Antoine Usseglio-Carleve. (2018) Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors. Electronic Journal of Statistics 12:2.
Crossref
P. Anagnostidis, C. Varsakelis & C.J. Emmanouilides. (2016) Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone. Physica A: Statistical Mechanics and its Applications 447, pages 116-128.
Crossref
José Alfredo Jiménez & Viswanathan Arunachalam. (2016) A Mixture of Generalized Tukey’s Distributions . Journal of Probability and Statistics 2016, pages 1-7.
Crossref
GUORUI BIAN, MICHAEL McALEER & WING-KEUNG WONG. (2014) ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL. Annals of Financial Economics 08:02, pages 1350007.
Crossref
Z. Bai, Y. Hui, W.-K. Wong & R. Zitikis. (2012) Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test. Journal of Financial Econometrics 10:4, pages 703-732.
Crossref
Zhiping Chen & Zhenxia Song. (2012) Dynamic portfolio optimization under multi-factor model in stochastic markets. OR Spectrum 34:4, pages 885-919.
Crossref
Zhidong Bai, Huixia Liu & Wing‐Keung Wong. (2009) ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY. Mathematical Finance 19:4, pages 639-667.
Crossref
Christian Walter. 2009. Scaling, Fractals and Wavelets. Scaling, Fractals and Wavelets 437 464 .
Hyun J. Jin. (2007) Heavy‐tailed Behavior of Commodity Price Distribution and Optimal Hedging Demand . Journal of Risk and Insurance 74:4, pages 863-881.
Crossref
JEN S. SHANG & PANDU R. TADIKAMALLA. (2011) MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH. International Journal of Theoretical and Applied Finance 07:03, pages 231-251.
Crossref
Friedrich Schmid & Andreas Stich. 1999. Mathematische Methoden der Wirtschaftswissenschaften. Mathematische Methoden der Wirtschaftswissenschaften 272 281 .
Pedro J.F. de Lima. (1997) On the robustness of nonlinearity tests to moment condition failure. Journal of Econometrics 76:1-2, pages 251-280.
Crossref
William A. Brock & Pedro J.F. de Lima. 1996. Statistical Methods in Finance. Statistical Methods in Finance 317 361 .
Keith Knight. (2009) Estimation in Dynamic Linear Regression Models with Infinite Variance Errors. Econometric Theory 9:4, pages 570-588.
Crossref
Meenakshi Venkateswaran, B. Wade Brorsen & Joyce A. Hall. (2006) The distribution of standardized futures price changes. Journal of Futures Markets 13:3, pages 279-298.
Crossref
C. H. Hesse. (2010) On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics. Econometric Theory 8:3, pages 330-342.
Crossref
Donald W. Gribbin, Randy W. Harris & Hon‐Shiang Lau. (2006) Futures prices are not stable‐paretian distributed. Journal of Futures Markets 12:4, pages 475-487.
Crossref
R. M. Kunst, E. Reschenhofer & K. Rodler. (1991) Analysis of Austrian stocks: Testing for stability and randomness. Empirical Economics 16:4, pages 465-477.
Crossref
Geoffrey Poitras. (2006) The distribution of gold futures spreads. Journal of Futures Markets 10:6, pages 643-659.
Crossref
Orsay Kucukemiroglu & Keith Ord. (2007) THE IMPACT OF EXTREME OBSERVATIONS ON SIMPLE FORECASTING METHODS*. Decision Sciences 16:3, pages 299-308.
Crossref
Ronald W. Cornew, Donald E. Town & Lawrence D. Crowson. (2006) Stable distributions, futures prices, and the measurement of trading performance. Journal of Futures Markets 4:4, pages 531-557.
Crossref
Pui-lam Leung & Wing-Keung Wong. (2006) On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares. SSRN Electronic Journal.
Crossref
Zhidong Bai, Keyan Wang, Wing-Keung Wong & Kok Fai Phoon. (2011) Asset Performance Evaluation with the Mean-Variance Ratio. SSRN Electronic Journal.
Crossref
Zhidong Bai, Huixia Liu & Wing-Keung Wong. (2010) Making Markowitz's Portfolio Optimization Theory Practically Useful. SSRN Electronic Journal.
Crossref
Roberto Casarin. (2004) Bayesian Inference for Mixtures of Stable Distributions. SSRN Electronic Journal.
Crossref
Liuren Wu. (2004) Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. SSRN Electronic Journal.
Crossref
Jan Annaert, Marc J.K. de Ceuster & Allan Hodgson. (2001) Moment Condition Failure Australian Evidence. SSRN Electronic Journal.
Crossref
Laurent E. Calvet & Adlai J. Fisher. (2012) Extreme Risk and Fractal Regularity in Finance. SSRN Electronic Journal.
Crossref
Wing-Keung Wong, Ricardas Zitikis, Zhidong Bai & Yongchang Hui. (2011) Prospect Performance Evaluation: Making a Case for a Non-Asymptotic UMPU Test. SSRN Electronic Journal.
Crossref
Greg Hannsgen. (2011) Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR: Final Working Paper Version. SSRN Electronic Journal.
Crossref
Guorui Bian, Michael McAleer & Wing-Keung Wong. (2010) Robust Estimation and Forecasting of the Capital Asset Pricing Model. SSRN Electronic Journal.
Crossref
Greg Hannsgen. (2010) Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.