Models for stock returns

DOI10.1080/14697680902855384zbMATH Open1278.91191OpenAlexW2090028393MaRDI QIDQ2873015FDOQ2873015

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• A generalization of the beta distribution with applications
• Normal Variance-Mean Mixtures and z Distributions
• Title not available (Why is that?)
• The Distribution of Stock Returns When the Market Is Up
• The Variance Gamma Process and Option Pricing
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• A guide to the Burr type XII distributions
• Empirical distributions of stock returns: between the stretched exponential and the power law?
• Option valuation with conditional skewness
• Perpetual American Options Under Lévy Processes
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• A Look at the Burr and Related Distributions
• Analysis of the conditional stock-return distribution under incomplete specification.
• ON THE SHAPE OF ASSET RETURN DISTRIBUTION
• Posterior analysis, prediction and reliability in three-parameter weibull distributions
• An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis

Cited In (5)

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

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