Concepedia

Asymmetric Stable Distributions of Stock Price Changes

Bruce D. Fielitz, ER Smith

Journal of the American Statistical Association · 1972 · 40 citations · 14 references

DOI

Concepts

Abstract

Abstract This note presents evidence that the asymmetric members of the stable family of distributions are appropriate for describing changes in stock prices.

References

14

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations

, , +12

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations

, , +11

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

Michael C. Jensen · The Journal of Business · 1969 · 954 citations

, , +17

The Analysis of Economic Time-Series-Part I: Prices

M. G. Kendall, Adam Hill · Journal of the Royal Statistical Society Series A (General) · 1953 · 824 citations

, , +12

Risk, Return, and Equilibrium

Eugene F. Fama · Journal of Political Economy · 1971 · 546 citations

, , +10