Inference robustness of ARIMA models under non-normality —Special application to stock price data
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Bibliographic InfoArticle provided by Springer in its journal Metrika.
Volume (Year): 26 (1979)
Issue (Month): 1 (December)
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Web page: http://www.springerlink.com/link.asp?id=102509
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.:
- S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317.
- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
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