TRANSACTION DATA TESTS OF THE MIXTURE OF DISTRIBUTIONS HYPOTHESIS

被引：156

作者：

HARRIS, L

机构：

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1987年 / 22卷 / 02期

关键词：

D O I：

10.2307/2330708

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：127 / 141

页数：15

相关论文

共 13 条

[1] DISTRIBUTION OF STOCK PRICE DIFFERENCES - GAUSSIAN AFTER ALL [J].

BRADA, J ;

ERNST, H ;

VANTASSE.J .

OPERATIONS RESEARCH, 1966, 14 (02) :334-&

[2] USING DAILY STOCK RETURNS - THE CASE OF EVENT STUDIES [J].

BROWN, SJ ;

WARNER, JB .

JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) :3-31

[3] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].

CLARK, PK .

ECONOMETRICA, 1973, 41 (01) :135-155

[4] STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J].

EPPS, TW ;

EPPS, ML .

ECONOMETRICA, 1976, 44 (02) :305-321

[5] IMPLICATIONS OF THE DISCRETENESS OF OBSERVED STOCK-PRICES [J].

GOTTLIEB, G ;

KALAY, A .

JOURNAL OF FINANCE, 1985, 40 (01) :135-153

[6] CROSS-SECURITY TESTS OF THE MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J].

HARRIS, L .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1986, 21 (01) :39-46

[7] MODELS OF STOCK RETURNS - A COMPARISON [J].

KON, SJ .

JOURNAL OF FINANCE, 1984, 39 (01) :147-165

[8] STOCK-PRICES AND HETEROSCEDASTICITY [J].

MORGAN, IG .

JOURNAL OF BUSINESS, 1976, 49 (04) :496-508

[9]

ROLL R, 1984, IS TRADING SELF GENE

[10] THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS [J].

TAUCHEN, GE ;

PITTS, M .

ECONOMETRICA, 1983, 51 (02) :485-505