Generalized entropy approach to stable Lévy distributions with financial application
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Publication:1855539
DOI10.1016/S0378-4371(02)01451-6zbMath1008.60069MaRDI QIDQ1855539
Hiroshi Takahashi, Ikuo Matsuba
Publication date: 5 February 2003
Published in: Physica A (Search for Journal in Brave)
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- Long-range dependence in the conditional variance of stock returns
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- Portfolio Analysis in a Stable Paretian Market