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Applied Economics Letters Volume 7, 2000 - Issue 6
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Original Articles

Excess kurtosis of conditional distribution for daily stock returns: the case of Japan

Toshiaki Watana Be
Pages 353-355 | Published online: 06 Oct 2010

Citations (12)

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Read on this site (3)

Pilsun Choi & Insik Min. (2009) Estimating endogenous switching regression model with a flexible parametric distribution function: application to Korean housing demand. Applied Economics 41:23, pages 3045-3055.
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Jun Yang. (2009) Semiparametric estimation of asset pricing kernel. Applied Financial Economics 19:4, pages 257-272.
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Insik Min. (2007) A nonparametric test of the conditional normality of housing demand. Applied Economics Letters 14:2, pages 105-109.
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Articles from other publishers (9)

Fang Chen, Xin He & Junhui Wang. (2021) Learning sparse conditional distribution: An efficient kernel-based approach. Electronic Journal of Statistics 15:1.
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Manabu Asai. (2009) Bayesian analysis of stochastic volatility models with mixture-of-normal distributions. Mathematics and Computers in Simulation 79:8, pages 2579-2596.
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Hisashi Tanizaki & Shigeyuki Hamori. (2008) Volatility transmission between Japan, UK and USA in daily stock returns. Empirical Economics 36:1, pages 27-54.
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John Douglas Opdyke. (2007) Comparing Sharpe ratios: So where are the p-values?. Journal of Asset Management 8:5, pages 308-336.
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Koichi Hamada, Kouji Sasaki & Toshiaki Watanabe. 2006. Practical Fruits of Econophysics. Practical Fruits of Econophysics 158 162 .
Peter Hall & Qiwei Yao. (2005) Approximating conditional distribution functions using dimension reduction. The Annals of Statistics 33:3.
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Hisashi Tanizaki. 2004. Computational Methods in Statistics and Econometrics. Computational Methods in Statistics and Econometrics.
Hisashi Tanizaki. (2004) On Asymmetry, Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns: The Case of Japan. JOURNAL OF THE JAPAN STATISTICAL SOCIETY 34:2, pages 129-152.
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Aravind Sampath & G. ArunKumar. (2013) Do Intraday Volatility Patterns Follow a ‘U’ Curve? Evidence from the Indian Market. SSRN Electronic Journal.
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