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The Stable-Law Model of Stock Returns

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Author Info
Akgiray, Vedat
Booth, G Geoffrey
Abstract

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 6 (1988)
Issue (Month): 1 (January)
Pages: 51-57
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Handle: RePEc:bes:jnlbes:v:6:y:1988:i:1:p:51-57

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  1. Andrew Matacz, 1997. "Financial modeling and option theory with the truncated Lévy process," Science & Finance (CFM) working paper archive 500035, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, EconWPA, revised 27 May 2005. [Downloadable!]
  3. KIANI, Khurshid M., 2007. "Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 103-118. [Downloadable!]
  4. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer, vol. 29(3), pages 333-354, May. [Downloadable!] (restricted)
  5. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation, Yale University. [Downloadable!]
  6. Jonathan B. Hill, 2005. "On Tail Index Estimation Using Dependent,Heterogenous Data," Working Papers 0512, Florida International University, Department of Economics. [Downloadable!]
  7. Khurshid M. Kiani, 2006. "Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(3), pages 369-381. [Downloadable!]
  8. Shiki Levy, 1998. "Wealthy People and Fat Tails: An Explanation for the Lévy Distribution of Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management 1118, Anderson Graduate School of Management, UCLA. [Downloadable!]
  9. Marcos Souto & Theodore M. Barnhill, 2007. "Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate," IMF Working Papers 07/290, International Monetary Fund. [Downloadable!]
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