Cross-sectional-skew-dependent distribution models for industry returns in the Japanese stock market

DOI10.1007/BF02425170zbMath1153.91764OpenAlexW1984287136MaRDI QIDQ1000378

Yuichi Nagahara

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02425170

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (2)

A method of calculating the downside risk by multivariate nonnormal distributions ⋮ Non-Gaussian distribution for stock returns and related stochastic differential equation

Cites Work

• An extensive analysis on the Japanese markets via S. Taylor's model
• Quantitative methods for portfolio analysis. MTV model approach
• Generalized autoregressive conditional heteroscedasticity
• AN APPROXIMATION TO THE DISTRIBUTION OF NON-CENTRAL t
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON CERTAIN NON-NORMAL SYMMETRICAL FREQUENCY DISTRIBUTIONS
• Some problems arising in approximating to probability distributions, using moments
• A new look at the statistical model identification

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