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Continuous Time Processes with Stable Increments

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  • McCulloch, J Huston

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Suggested Citation

  • McCulloch, J Huston, 1978. "Continuous Time Processes with Stable Increments," The Journal of Business, University of Chicago Press, vol. 51(4), pages 601-619, October.
    • Handle: RePEc:ucp:jnlbus:v:51:y:1978:i:4:p:601-19
    DOI: 10.1086/296024
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    Cited by:

    1. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
    2. David Edelman & Thomas Gillespie, 2000. "The Stochastically Subordinated Poisson Normal Process for Modelling Financial Assets," Annals of Operations Research, Springer, vol. 100(1), pages 133-164, December.
    3. Vedat Akgiray & G. Geoffrey Booth, 1987. "Compound Distribution Models Of Stock Returns: An Empirical Comparison," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 269-280, September.
    4. 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).
    5. 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.
    6. Thomas Bundt & Robert Murphy, 2008. "Are residual economic relationships normally distributed? Testing an assumption of neoclassical economics," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 21(4), pages 329-340, December.
    7. 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.
    8. 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.
    9. 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.

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