STABLE-DISTRIBUTIONS AND THE MIXTURES OF DISTRIBUTIONS HYPOTHESES FOR COMMON-STOCK RETURNS

被引:48
作者
FIELITZ, BD
ROZELLE, JP
机构
关键词
D O I
10.2307/2287096
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:28 / 36
页数:9
相关论文
共 25 条
[1]  
[Anonymous], 1971, THESIS YALE U
[2]   RE-EXAMINATION OF EMPIRICAL DISTRIBUTION OF STOCK PRICE CHANGES [J].
BARNEA, A ;
DOWNES, DH .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1973, 68 (342) :348-350
[3]   STABILITY OF DISTRIBUTION OF MARKET COMPONENT IN STOCK PRICE CHANGES [J].
BRENNER, M .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1974, 9 (06) :945-961
[4]   MACRO-INFORMATION AND THE VARIABILITY OF STOCK-MARKET PRICES [J].
CASTANIAS, RP .
JOURNAL OF FINANCE, 1979, 34 (02) :439-450
[5]   METHOD FOR SIMULATING STABLE RANDOM-VARIABLES [J].
CHAMBERS, JM ;
MALLOWS, CL ;
STUCK, BW .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1976, 71 (354) :340-344
[6]   SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].
CLARK, PK .
ECONOMETRICA, 1973, 41 (01) :135-155
[7]  
DOWELL CD, 1978, J FINANCIAL QUANTITA, V12, P79
[8]  
FAMA E, 1965, MANAGEMENT SCI B, V2, P409
[9]   RISK, RETURN, AND EQUILIBRIUM [J].
FAMA, EF .
JOURNAL OF POLITICAL ECONOMY, 1971, 79 (01) :30-55
[10]   SOME PROPERTIES OF SYMMETRIC STABLE DISTRIBUTIONS [J].
FAMA, EF ;
ROLL, R .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1968, 63 (323) :817-&