✦ LIBER ✦

On the probability distribution of stock returns in the Mike-Farmer model

✍ Scribed by G.-F. Gu; W.-X. Zhou

Book ID: 111622909
Publisher: Springer
Year: 2009
Tongue: English
Weight: 395 KB
Volume: 67
Category: Article
ISSN: 1434-6036
DOI: 10.1140/epjb/e2009-00052-4

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The Probability Distribution of Security

The Probability Distribution of Security Returns: Canadian Evidence from the Toronto Stock Exchange

✍ Swaminathan Sankaran 📂 Article 📅 2009 🏛 Wiley (John Wiley & Sons) 🌐 English ⚖ 654 KB

The Distribution of Stock Returns: New E

The Distribution of Stock Returns: New Evidence against the Stable Model

✍ Amy Hing-Ling Lau, Hon-Shiang Lau and John R. Wingender 📂 Article 📅 1990 🏛 American Statistical Association 🌐 English ⚖ 288 KB

The impact of margin-traders on the dist

The impact of margin-traders on the distribution of daily stock returns: the London Stock Exchange

✍ Rougier, Jonathan 📂 Article 📅 1993 🏛 Taylor and Francis Group 🌐 English ⚖ 766 KB

Impact of diversification on the distrib

Impact of diversification on the distribution of stock returns: International evidence

✍ Gordon Y. N. Tang; Daniel F. S. Choi 📂 Article 📅 1998 🏛 Springer US 🌐 English ⚖ 590 KB

An econometric model of nonlinear dynami

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

✍ Massimo Guidolin; Professor Allan Timmermann 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 260 KB 👁 1 views

## Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state mod

A Note on the Behavior of Stock Returns

A Note on the Behavior of Stock Returns around Ex-Dates of Stock Distributions

✍ Dravid, Ajay R. 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB