Models for stock returns

DOI10.1080/14697680902855384MaRDI QIDQ2873015zbMATH OpenOpenAlexFDO

Authors Saralees Nadarajah

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902855384

zbMATH Keywords

beta functiongamma functionincomplete gamma functionnormal distributiongeneralized hypergeometric functionmodified Bessel functionKummer functionstock market returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• A Look at the Burr and Related Distributions
• A generalization of the beta distribution with applications
• A guide to the Burr type XII distributions
• An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
• Analysis of the conditional stock-return distribution under incomplete specification.
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Empirical distributions of stock returns: between the stretched exponential and the power law?
• Normal Variance-Mean Mixtures and z Distributions
• ON THE SHAPE OF ASSET RETURN DISTRIBUTION
• Option valuation with conditional skewness
• Perpetual American Options Under Lévy Processes
• Posterior analysis, prediction and reliability in three-parameter weibull distributions
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• The Distribution of Stock Returns When the Market Is Up
• The Variance Gamma Process and Option Pricing
• The pricing of options and corporate liabilities

Cited in

(5)

• Local likelihood estimators in a regression model for stock returns
• Analysis of the conditional stock-return distribution under incomplete specification.
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• The Distribution of Stock Returns When the Market Is Up
• A second-order stock market model

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