Arbitrary truncated Levy flight: Asymmetrical truncation and high-order correlations
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References listed on IDEAS
- Vinogradov, Dmitry V., 2010. "Cumulant approach of arbitrary truncated Levy flight," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5794-5800.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
- repec:bla:joares:v:22:y:1984:i::p:59-82 is not listed on IDEAS
- Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
- Dmitry V. Vinogradov, 2010. "Cumulant Approach of Arbitrary Truncated Levy Flight," Papers 1006.2489, arXiv.org, revised Oct 2010.
More about this item
KeywordsFinancial stochastic processes; Truncated Levy flights; High-order correlations; Non-Gaussian random walk;
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