Skip to main content
Log in

Statistical models of German stock returns

  • Articles
  • Published:
Journal of Economics Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

References

  • Akgiray, V. (1989): “Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts”.Journal of Business 62: 55–80.

    Google Scholar 

  • Akgiray, V., and Booth, G. G. (1986): “Stock Price Processes with Discontinuous Time Paths: An Empirical Examination”.Financial Review 21: 163–184.

    Google Scholar 

  • — (1987): “Compound Distribution Models of Stock Returns: An Empirical Comparison”.Journal of Financial Research 10: 269–280.

    Google Scholar 

  • — (1988): “The Stable-Law Model of Stock Returns”.Journal of Business & Economic Statistics 6: 51–57.

    Google Scholar 

  • Akgiray, V.; Booth, G. G.; and Loistl, O. (1987): “Stable Parameter Estimates for German Share Price Relatives”.Allgemeines Statistisches Archiv 71: 325–333.

    Google Scholar 

  • Akgiray, V.: (1989): “Stable Laws are Inappropriate for Describing German Stock Returns”.Allgemeines Statistisches Archiv 73: in press.

  • Akgiray, V., and Lamoureux, C. (1989): “Estimation of the Parameters of the Stable Law”.Journal of Business & Economic Statistics 7: 85–93.

    Google Scholar 

  • Ball, C., and Torous, W. (1985): “On Jumps in Common Stock Prices and their Impact on Call Pricing”.Journal of Finance 40: 155–167.

    Google Scholar 

  • Bollerslev, T. (1987): “A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return”.Review of Economics and Statistics 69: 542–547.

    Google Scholar 

  • Bookstaber, R. M., and Mcdonald, J. S. (1987): “A General Distribution for Describing Security Returns”.Journal of Business 60: 401–424.

    Google Scholar 

  • Conrad, K., and Jüttner, D. (1973): “Recent Behavior of Stock Market Prices in West Germany and the Random Walk Hypothesis”.Kyklos 26: 576–599.

    Google Scholar 

  • DuMouchel, W. (1983): “Estimating the Stable Index α in Order to Measure Tail Thickness: A Critique”.Annals of Statistics 11: 1019–1031.

    Google Scholar 

  • Efron, B. (1979): “Bootstrap Methods: Another Look at the Jackknife”.Annals of Statistics 7: 1–26.

    Google Scholar 

  • Fama, E. (1965): “The Behavior of Stock Market Prices”.Journal of Business 38: 34–105.

    Google Scholar 

  • Fama, E., and Roll, R. (1971): “Parameter Estimates for Symmetric Stable Distributions”.Journal of the American Statistical Association 66: 331–338.

    Google Scholar 

  • Harrison, M.; Pitbladdo, R.; and Schaeffer, S. (1984): “Continuous Price Processes in Frictionless Markets Have Infinite Variation”.Journal of Business 57: 353–365.

    Google Scholar 

  • Jarrow, R. A., and Rosenfeld, E. R. (1984): “Jump Risks and the Intertemporal Capital Asset Pricing Model”.Journal of Business 57: 337–351.

    Google Scholar 

  • Kon, S. (1984): “Models of Stock Returns — A Comparison”.Journal of Finance 39: 147–165.

    Google Scholar 

  • Koutrouvelis, I. (1980): “Regression-Type Estimation of the Parameters of Stable Laws”.Journal of the American Statistical Association 75: 918–928.

    Google Scholar 

  • Mandelbrot, B. (1963): “The Variation of Certain Speculative Prices”.Journal of Business 36: 394–419.

    Google Scholar 

  • Merton, R. C. (1976): “Option Pricing when Underlying Stock Returns are Discontinuous”.Journal of Financial Economics 5: 125–144.

    Google Scholar 

  • Möller, H. P. (1984): “Stock Market Research in Germany: Some Empirical Results and Critical Remarks”. InRisk and Capital, edited by G. Bamberg and K. Spreman. New York: Springer-Verlag.

    Google Scholar 

  • — (1986): “Das Capital-Asset-Pricing-Modell: Separationstheorien oder auch Erklärung der Preisbildung auf realen Kapitalmärkten”.Die Betriebswirtschaft 46: 707–719.

    Google Scholar 

  • Mühlbradt, F. W. (1978):Chancen und Risiken der Aktienanlage: Untersuchungen zur “efficient market”-Theorie in Deutschland. Köln: Wison.

    Google Scholar 

  • Osborne, M. F. M. (1959): “Brownian Motion in the Stock Market”.Operations Research 7: 145–173.

    Google Scholar 

  • Redner, R., and Walker, H. (1984): “Mixture Densities, Maximum Likelihood and the EM Algorithm”.SIAM Review 26: 195–239.

    Google Scholar 

  • Ronning, G. (1974): “Das Verhalten von Aktienkursveränderungen: Eine Überprüfung von Unabhängigkeits- und Verteilungshypothesen anhand von nichtparametrischen Testverfahren”.Allgemeines Statistisches Archiv 58: 272–302.

    Google Scholar 

  • Schwarz, G. (1978): “Estimating the Dimensions of a Model”.Annals of Statistics 6: 461–464.

    Google Scholar 

  • Tucker, A. L., and Pond, L. (1988): “The Probability Distribution of Foreign Exchange Price Changes: Test of Candidate Processes”.Review of Economics and Statistics 70: 638–647.

    Google Scholar 

  • Zimmermann, H. (1985): “Eine Illustration zur Verteilung Spekulativer Preise (The Distribution of Speculative Prices: An Illustration)”.Jahrbücher für Nationalökonomie und Statistik 200: 420–427.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Rights and permissions

Reprints and permissions

About this article

Cite this article

Akgiray, V., Booth, G.G. & Loistl, O. Statistical models of German stock returns. Journal of Economics Zeitschrift für Nationalökonomie 50, 17–33 (1989). https://doi.org/10.1007/BF01227606

Download citation

  • Received:

  • Revised:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01227606

Keywords

Navigation