On testing the adequacy of stable processes under conditional heteroscedasticity
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 9 (2002)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/jempfin
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Garcia, René & Renault, Eric & Veredas, David, 2011.
"Estimation of stable distributions by indirect inference,"
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- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
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