Modeling chinese stock returns with stable distribution
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Publication:646126
DOI10.1016/j.mcm.2011.03.004zbMath1225.91073OpenAlexW2062062923MaRDI QIDQ646126
Yucheng Dong, Weidong Xu, Chongfeng Wu, Wei-Lin Xiao
Publication date: 11 November 2011
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.03.004
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)
Related Items (6)
Bivariate sub-Gaussian model for stock index returns ⋮ WITHDRAWAL SUCCESS ESTIMATION ⋮ Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws ⋮ Series representation of jointly \(S \alpha S\) distribution via symmetric covariations ⋮ Stock market uncertainty and economic fundamentals: an entropy-based approach ⋮ Estimation methods for expected shortfall
Uses Software
Cites Work
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