The Distribution of Stock Returns When the Market Is Up

DOI10.1081/STA-120022244zbMath1173.91381MaRDI QIDQ4412406

C. G. Troskie, Arjun K. Gupta, John T. Chen

Publication date: 14 July 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (11)

Information Approach for the Change-Point Detection in the Skew Normal Distribution and Its Applications ⋮ A two-stage stochastic mixed-integer programming approach to the index tracking problem ⋮ Reverse stress testing in skew-elliptical models ⋮ Likelihood procedure for testing changes in skew normal model with applications to stock returns ⋮ Skew-normal distribution in the multivariate null intercept measurement error model ⋮ A multivariate two-factor skew model ⋮ Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments ⋮ On some properties of the unified skew normal distribution ⋮ A comparison of generalized hyperbolic distribution models for equity returns ⋮ Models for stock returns ⋮ An empirical likelihood ratio based goodness-of-fit test for skew normality

Cites Work

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• The nontruncated marginal of a truncated bivariate normal distribution
• Necessary conditions for the CAPM
• Estimation of Standard Errors of Empirical Bayes Estimators in Capm-Type Models
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• Testing and Locating Variance Changepoints with Application to Stock Prices
• GOODNESS-OF-FIT TESTS FOR THE SKEW-NORMAL DISTRIBUTION

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