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Continuous Time Processes with Stable Increments

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  • McCulloch, J Huston

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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 51 (1978)
Issue (Month): 4 (October)
Pages: 601-19

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Handle: RePEc:ucp:jnlbus:v:51:y:1978:i:4:p:601-19

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Web page: http://www.journals.uchicago.edu/JB/

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Cited by:
  1. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
  2. de Vany, Arthur & Kim, Cassey Lee Hong, 2003. "Stochastic Market Structure: Concentration Measures and Motion Picture Antitrust," Centre on Regulation and Competition (CRC) Working papers 30701, University of Manchester, Institute for Development Policy and Management (IDPM).
  3. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  4. De Vany, Arthur S. & Walls, W. David, 2004. "Motion picture profit, the stable Paretian hypothesis, and the curse of the superstar," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1035-1057, March.
  5. Kittiakarasakun, Jullavut & Tse, Yiuman, 2011. "Modeling the fat tails in Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 430-440, June.
  6. Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  7. Thomas Bundt & Robert Murphy, 2008. "Are residual economic relationships normally distributed? Testing an assumption of neoclassical economics," The Review of Austrian Economics, Springer, vol. 21(4), pages 329-340, December.

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