The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 100 (1997)
Issue (Month): 1 (July)
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- Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 105-116, March.
- McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
- Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 107-122, June.
- Akgiray, Vedat & Lamoureux, Christopher G, 1989. "Estimation of Stable-Law Parameters: A Comparative Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 85-93, January.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1987. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply," Journal of Finance, American Finance Association, vol. 42(1), pages 189-94, March.
- Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
- Akgiray, Vedat & Booth, G Geoffrey, 1988. "The Stable-Law Model of Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 51-57, January.
- Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 217-23, April.
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