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On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

✍ Scribed by Fergusson, Kevin; Platen, Eckhard


Book ID
126515363
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
492 KB
Volume
13
Category
Article
ISSN
1350-486X

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any empirical studies of daily returns on common stocks and other financial M assets in United States markets have reported daily. patterns that are seemingly inexplicable (Cross, 1973, French, 1980, Gibbons and Hess, 1981 and Keim and Stambaugh, 1984). Recently, Jaffe and Westerfield (1985) report