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Geopolitical risk contagion across strategic sectors: Nonlinear evidence from defense, cybersecurity, energy, and raw materials. [PDF]
Gheorghe C, Panazan O.
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Study on the relationship between buyer market power, spatial spillover effect, and profit in China's pharmaceutical industry. [PDF]
Guanyi Y, Lei W, Heng C, Zhengliang D.
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ON THE SHAPE OF ASSET RETURN DISTRIBUTION
Communications in Statistics: Simulation and Computation, 2002ABSTRACT In this paper we investigate the shape of the asset return distribution using all shares index of Helsinki Stock Exchange and Standard & Poor's 500 index of New York Stock Exchange. In both cases the power exponential distribution is used to model the shape of the return distribution and the inference is cross-checked with Student t ...
Juuso Töyli, Kimmo Kaski, Antti Kanto
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Likelihood Evidence on the Asset Returns Puzzle
The Review of Economic Studies, 2005Summary: Standard equilibrium models are unable to replicate the average return on equity and the risk-free rate during 1889--1978, the well-known asset returns puzzle. The present paper, motivated by the excess of outliers in the data, proposes a normal-scale mixture stochastic process for output that is compatible with leptokurtosis.
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