The theory of geometric stable distributions and its use in modeling financial data
- 28 April 1994
- journal article
- Published by Elsevier in European Journal of Operational Research
- Vol. 74 (2) , 310-324
- https://doi.org/10.1016/0377-2217(94)90099-x
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- The Stable-Law Model of Stock ReturnsJournal of Business & Economic Statistics, 1988
- Asymptotic methods in reliability theory: a reviewAdvances in Applied Probability, 1984
- A characteristic property of one class of limit distributionsMathematische Nachrichten, 1983
- A Comedy of Errors: The Canonical Form for a Stable Characteristic FunctionBulletin of the London Mathematical Society, 1981
- A Method for Simulating Stable Random VariablesJournal of the American Statistical Association, 1976
- A Comparison of the Stable and Student Distributions as Statistical Models for Stock PricesThe Journal of Business, 1974
- Investigations of Nonstationarity in PricesThe Journal of Business, 1974
- Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to Other Symmetric Long-Tailed DistributionsJournal of the American Statistical Association, 1973
- The Behavior of Stock-Market PricesThe Journal of Business, 1965
- Théorie de la spéculationAnnales Scientifiques de lʼÉcole Normale Supérieure, 1900