Heavy-tails in economic data: fundamental assumptions, modelling and analysis
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References listed on IDEAS
- Levy, Moshe & Levy, Haim & Solomon, Sorin, 1994. "A microscopic model of the stock market : Cycles, booms, and crashes," Economics Letters, Elsevier, vol. 45(1), pages 103-111, May.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Lux, T. & M. Marchesi, "undated". "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
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- repec:gam:jrisks:v:5:y:2017:i:3:p:45-:d:110079 is not listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-CWA-2012-02-15 (Central & Western Asia)
- NEP-ETS-2012-02-15 (Econometric Time Series)
- NEP-HPE-2012-02-15 (History & Philosophy of Economics)
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