Testing for stability based on the empirical characteristic funstion with applications to financial data
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/00949659908811982
Reference45 articles.
1. The Stable-Law Model of Stock Returns
2. Estimation of Stable-Law Parameters: A Comparative Study
3. A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
4. ARCH modeling in finance
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