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Levy Flights, Autocorrelation, and Slow Convergence

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Author Info
Sergio Da Silva (Federal University of Rio Grande Do Sul, Brazil)

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File URL: http://129.3.20.41/eps/fin/papers/0405/0405021.pdf
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Paper provided by EconWPA in its series Finance with number 0405021.

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Date of creation: 17 May 2004
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Handle: RePEc:wpa:wuwpfi:0405021

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Web page: http://129.3.20.41

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G - Financial Economics

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References listed on IDEAS
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  1. Stefan Mittnik & Svetlozar Rachev, 1993. "Modeling asset returns with alternative stable distributions," Econometric Reviews, Taylor and Francis Journals, vol. 12(3), pages 261-330. [Downloadable!] (restricted)
  2. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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