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Financial Volatility and Independent and Identically Distributed Variables

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Author Info
Annibal Figueiredo
Iram Gleria
Raul Matsushita
Sergio Da Silva

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File URL: http://129.3.20.41/eps/fin/papers/0407/0407011.pdf
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Paper provided by EconWPA in its series Finance with number 0407011.

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Date of creation: 16 Jul 2004
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Handle: RePEc:wpa:wuwpfi:0407011

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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
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.:
  1. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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  2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
    Other versions:
  3. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  4. Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Quantitative Finance Papers cond-mat/9903369, arXiv.org, revised Mar 1999. [Downloadable!]
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This page was last updated on 2009-12-13.

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