Journal of Financial Economics Vol. 5 No. 3 1977
An autoregressive jump process for common stock returns
Abstract
This paper develops a new distribution theory for common stock returns. The model is composed of a calendar time diffusion process and a jump process where the magnitudes of the jumps may be autocorrelated. Empirical tests are performed on a month of transactions returns for twenty New York Stock Exchange securities. The data analysis supports the validity of the proposed theory.
- DOI
- 10.1016/0304-405x(77)90045-9
- Volume
- 5
- Issue
- 3
- Pages
- 389-418
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref