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On the Distributional Characterization of Daily Log-Returns of a World Stock Index

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  1. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
  2. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
  3. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Post-Print halshs-00281585, HAL.
  4. Moshe Levy, 2012. "On the Spurious Correlation Between Sample Betas and Mean Returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 341-360, September.
  5. William T. Shaw & Thomas Luu & Nick Brickman, 2009. "Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles," Papers 0901.0638, arXiv.org, revised Dec 2011.
  6. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. William T. Shaw, 2011. "Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution," Papers 1102.5665, arXiv.org.
  8. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology," Documents de travail du Centre d'Economie de la Sorbonne b08037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  9. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
  11. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW Kiel).
  12. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
  13. Warren Gilchrist, 2008. "Regression Revisited," International Statistical Review, International Statistical Institute, vol. 76(3), pages 401-418, December.
  14. Aki-Hiro Sato & Takaki Hayashi & Janusz A. Ho{l}yst, 2012. "Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix," Papers 1204.0426, arXiv.org.
  15. Kim, Joseph H.T. & Kim, So-Yeun, 2019. "Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 145-157.
  16. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Julio Mulero & Miguel A. Sordo & Marilia C. de Souza & Alfonso Suárez‐LLorens, 2017. "Two stochastic dominance criteria based on tail comparisons," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(6), pages 575-589, November.
  18. Noureddine Kouaissah & Sergio Ortobelli lozza, 2020. "Multivariate Stochastic Dominance: A Parametric Approach," Economics Bulletin, AccessEcon, vol. 40(2), pages 1380-1387.
  19. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
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  21. Sebastian Schich & Arturo Estrella, 2015. "Valuing guaranteed bank debt: Role of strength and size of the bank and the guarantor," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(5), pages 19-32, October.
  22. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
  23. Tiago P. Filomena & Miguel A. Lejeune, 2014. "Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 308-329, April.
  24. William T. Shaw, 2008. "A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback," Papers 0811.0182, arXiv.org, revised Aug 2009.
  25. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 197-206.
  26. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
  27. Grobys, Klaus, 2021. "What do we know about the second moment of financial markets?," International Review of Financial Analysis, Elsevier, vol. 78(C).
  28. Ignatieva, Katja & Landsman, Zinoviy, 2015. "Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 172-186.
  29. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. Arturo Estrella & Sebastian Schich, 2012. "Sovereign and Banking Sector Debt: Interconnections through Guarantees," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2011(2), pages 21-45.
  32. William T. Shaw, 2010. "Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios," Papers 1008.3718, arXiv.org.
  33. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2013, January-A.
  34. Turnbull, Bradley C. & Ghosh, Sujit K., 2014. "Unimodal density estimation using Bernstein polynomials," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 13-29.
  35. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
  36. K. Fergusson, 2017. "Explicit Formulae For Parameters Of Stochastic Models Of A Discounted Equity Index Using Maximum Likelihood Estimation With Applications," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-31, June.
  37. William T. Shaw & Marcus Schofield, 2015. "A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 975-998, June.
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