Accounting for outliers and calendar effects in surrogate simulations of stock return sequences-Reference-Cited by-同舟云学术

Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Published:2006-08 Issue:2 Volume:368 Page:522-530
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Leontitsis Alexandros,Vorlow Constantinos E.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference49 articles.

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2. The random-walk hypothesis of stock market behavior;Clive Granger;Kyklos,1964

3. Proof that properly anticipated prices fluctuate randomly;Samuelson;Ind. Manage. Rev. (Spring):,1965

4. Periodic structure in the Brownian motion of stock prices;Osborne;Oper. Res.,1962

5. The behaviour of stock market prices;Fama;J. Business,1965

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