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Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections

Koundouri, Phoebe and Kourogenis, Nikolaos and Pittis, Nikitas (2016) Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections. Journal of Economic Surveys, 30 (1). pp. 149-164. ISSN 0950-0804

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Identification Number: 10.1111/joes.12093

Abstract

The purpose of this paper is twofold: first, to survey the statistical models of stock returns that have been suggested in the finance literature since the middle of the twentieth century; second, to examine under the prism of the contemporary philosophy of science, which of the aforementioned models can be classified as explanatory and which as descriptive. Special emphasis is paid on tracing the interactions between the motivation for the birth of statistical models of stock returns in any given historical period and the concurrent changes of the theoretical paradigm in financial economics, as well as those of probability theory.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2014 John Wiley & Sons Ltd
Divisions: Grantham Research Institute
Subjects: H Social Sciences > HG Finance
JEL classification: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
Sets: Research centres and groups > Grantham Research Institute on Climate Change and the Environment
Collections > Economists Online
Date Deposited: 29 Feb 2016 10:02
Last Modified: 27 Sep 2017 16:12
URI: http://eprints.lse.ac.uk/id/eprint/65549

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