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The modified weibull distribution for asset returns: reply

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  • Y. Malevergne
  • V. Pisarenko
  • D. Sornette

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  • Y. Malevergne & V. Pisarenko & D. Sornette, 2006. "The modified weibull distribution for asset returns: reply," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 451-451.
    • Handle: RePEc:taf:quantf:v:6:y:2006:i:6:p:451-451
    DOI: 10.1080/14697680600902520
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    1. Y. Malevergne & V. Pisarenko & D. Sornette, 2005. "Empirical distributions of stock returns: between the stretched exponential and the power law?," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 379-401.
    2. D. Sornette & J. V. Andersen & P. Simonetti, 2000. "Portfolio Theory For "Fat Tails"," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 523-535.
    3. Y. Malevergne & D. Sornette, 2003. "VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions," Papers physics/0301009, arXiv.org.
    4. Saralees Nadarajah & Samuel Kotz, 2006. "The modified Weibull distribution for asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 449-449.
    5. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
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