Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
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Cited by:
- Yuri Heymann, 2016. "A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks," Computational Statistics, Springer, vol. 31(4), pages 1373-1383, December.
- Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
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More about this item
Keywords
Stable distributions; ARMA-GARCH; Heavy tails; Volatility clustering; Value at risk;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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