Linnik distributions and processes
- 1 June 1993
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 30 (2) , 330-340
- https://doi.org/10.2307/3214842
Abstract
Using a simple characterization of the Linnik distribution, discrete-time processes having a stationary Linnik distribution are constructed. The processes are structurally related to exponential processes introduced by Arnold (1989), Lawrance and Lewis (1981) and Gaver and Lewis (1980). Multivariate versions of the processes are also described. These Linnik models appear to be viable alternatives to stable processes as models for temporal changes in stock prices.Keywords
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