Normality of stock returns with event time clocks
Author:
Affiliation:
1. School of Business; the University of Queensland; Brisbane QLD Australia
Publisher
Wiley
Subject
Economics, Econometrics and Finance (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/acfi.12150/fullpdf
Reference26 articles.
1. Non-normalities and tests of asset pricing theories;Affleck-Graves;Journal of Finance,1989
2. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001
3. Order flow, transaction clock and normality of asset returns;Ané;Journal of Finance,2000
4. Théorie de la speculation;Bachelier;Annales Scientifiques de 1'Ecole Normale Supérueyre,1900
5. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973
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