Do financial returns have finite or infinite variance? A paradox and an explanation
From MaRDI portal
Publication:3063854
DOI10.1080/14697680903540381zbMath1202.91333MaRDI 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 tails; infinite variance; financial returns; finite variance; Bachelier-Samuelson model; Mandelbrot model
60E05: Probability distributions: general theory
91B70: Stochastic models in economics
91G30: Interest rates, asset pricing, etc. (stochastic models)
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