97
Views
12
CrossRef citations to date
0
Altmetric
Original Articles

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

Pages 353-355 | Published online: 06 Oct 2010

References

  • Black , F. Studies of stock market volatility changes . 1976 Proceedings of the American Statistical Association, Business & Economic Statistics Section . pp. 177 – 181 . American Statistical Association .
  • Bollerslev , T. 1987 . A conditional heteroskedastic time series model for speculative prices and rates of return . Review of Economics and Statistics , 69 : 542 – 547 .
  • Bollerslev , T. , Engle , R. F. and Nelson , D. B. 1994 . “ ARCH models ” . In The Handbook of Econometrics , Edited by: Engle , R. F. and McFadden , D. B. Volume 4 , 2959 – 3038 . Amsterdam : North Holland .
  • Christie , A. A. 1982 . The stochastic behavior of common stock variances: value, leverage and interest rate effects . Journal of Financial Economics , 10 : 407 – 432 .
  • Fama , E. F. 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
  • French , K. R. and Roll , R. 1986 . Stock return variances: the arrival of information and the volatility . Journal of Financial Economics , 17 : 5 – 26 .
  • Mandelbrot , B. 1963 . The variation of certain speculative prices . Journal of Business , 36 : 394 – 419 .
  • McDonald , J. B. and Newey , W. K. 1988 . Partially adaptive estimation of regression models via the generalized t distribution . Econometric Theory , 4 : 428 – 457 .
  • Nelson , D. B. 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 370 .

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.