The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation
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- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
- Robert J. Ritchey, 1990. "Call Option Valuation For Discrete Normal Mixtures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 285-296, December.
- Xin Ling, 2017. "Normality of stock returns with event time clocks," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 277-298, April.
- Celso Brunetti & Jeffrey H. Harris & Shawn Mankad, 2018. "Bank Holdings and Systemic Risk," Finance and Economics Discussion Series 2018-063, Board of Governors of the Federal Reserve System (U.S.).
- Meenakshi Venkateswaran & B. Wade Brorsen & Joyce A. Hall, 1993.
"The distribution of standardized futures price changes,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 279-298, May.
- Venkateswaran, Meenakshi & Brorsen, B. Wade & Hall, Joyce A., 1988. "The Distribution Of Standardized Futures Price Changes," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270288, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016.
"Factor Models of Stock Returns: GARCH Errors versus TimeâVarying Betas,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2014. "Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas," DEOS Working Papers 1409, Athens University of Economics and Business.
- Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2016. "Factor models of stock returns: GARCH errors versus time-varying betas," LSE Research Online Documents on Economics 65548, London School of Economics and Political Science, LSE Library.
- David E. Upton, 1982. "Single-Period Mean-Variance In A Multiperiod Context," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 55-68, March.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
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