Do financial returns have finite or infinite variance? A paradox and an explanation
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Publication:3063854
DOI10.1080/14697680903540381zbMath1202.91333OpenAlexW2113195484MaRDI QIDQ3063854
Michael Grabchak, Gennady Samorodnitsky
Publication date: 15 December 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903540381
heavy tailsinfinite variancefinancial returnsfinite varianceBachelier-Samuelson modelMandelbrot model
Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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