References
- Akgiray , V. and Booth , G.G. 1988 . The Stable-Law Model of Stock Returns . Journal of Business & Economic Statistics , 6 ( 1 ) : 51 – 57 .
- Chan , N.H. and Tran , L.T. 1989 . On the First-Order Autoregressive Process with Infinite Variance . Econometric Theory , 5 ( 1 ) : 354 – 362 .
- de Vries , C.G. 1991 . On the relation between G ARCH and stable processes . Journal of Econometrics , 48 ( 1 ) : 313 – 324 .
- Dumouchel , W.H. 1975 . Stable distributions in statistical inference: 2. Information from stably distributed samples . Journal of the American Statistical Association , 70 ( 1 ) : 386 – 393 .
- Engle , R.F. 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 ( 1 ) : 987 – 1007 .
- Fama , E. 1965 . The Behavior of Stock Market Prices . Journal of Business , 38 ( 1 ) : 34 – 105 .
- Fama , E.F. and Roll , R. 1971 . Parameter estimates for symmetric stable distributions . Journal of the American Statistical Association , 66 ( 1 ) : 331 – 338 .
- Feller , W. 1966 . An Introduction to Probability Theory and its Applications , Vol. 2 , New York : Wiley .
- Koutrouvelis , I.A. 1980 . Regression-type estimates of the parameters of the stable laws . Journal of the American Statistical Association , 75 : 918 – 928 .
- Koutrouvelis , I.A. and Bauer , D.F. 1981 . Asymptotic Distribution of Regression-Type Estimators of Parameters of Stable Laws . Communications in Statistics—Theory and Methods , 11 ( 23 ) : 2715 – 2730 .
- Daniel.B , Nelson . 1990 . Stationarity and Persistence in the GARCH(1,1) Model . Econometric Theory , 6 ( 23 ) : 318 – 334 .
- Paulson , A.S. , Holcomb , E.W. and Leitch , R.A. 1975 . The estimation of the parameters of the stable laws . Biometrika , 62 ( 23 ) : 463 – 470 .