Modeling asset returns with alternative stable distributions*

DOI10.1080/07474939308800266zbMath0801.62096OpenAlexW2038016952WikidataQ59410566 ScholiaQ59410566MaRDI QIDQ4286238

Svetlozar T. Rachev, Stefan Mittnik

Publication date: 30 November 1994

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939308800266

zbMATH Keywords

identificationestimationstable distributionsWeibull distributionstable Paretian distributionfinancial modellingunivariate analysisdouble Weibull distributionasset-return modelsdistributional form of returns on financial assetsgeometric-stable distributionsgeometric-summation schemenonrandom stable

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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