Back to search

The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

Data up to Jan 2025

Published1982
Citations50
References25

Total Citations Per Year

Abstract

References (25)

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The variation of certain speculative prices

1997 • 4,766 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Brownian Motion in the Stock Market

1959 • 967 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Mandelbrot and the Stable Paretian Hypothesis

1963 • 832 citations

The Distribution of Share Price Changes

1972 • 543 citations

Long-term dependence in common stock returns

1977 • 482 citations

A Compound Events Model for Security Prices

1967 • 463 citations

The Random Character of Stock Market Prices.

1965 • 331 citations

The Distribution of Stock Returns

1972 • 292 citations

Predictability of Stock Market Prices.

1971 • 252 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 230 citations

The Predictability of Stock Market Prices.

1971 • 119 citations

A Note on the Distribution of Stock Price Changes

1971 • 96 citations

Measurement of a Random Process in Futures Prices

1976 • 83 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

Comments on: "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," by Peter K. Clark

1973 • 66 citations

A Reexamination of the Empirical Distribution of Stock Price Changes

1973 • 53 citations

The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns

1977 • 31 citations

Random Walk of Stock Prices: A Test of the Variance-Time Function

1971 • 19 citations

Cited By (0)

Loading...
The Time‐Variance Relationship of Security Returns: Implications for the… (1982) – The Journal of Finance | Metascience Observatory Explorer