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Journal of Business & Economic Statistics Volume 6, 1988 - Issue 1
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Original Articles

The Stable-Law Model of Stock Returns

Vedat AkgirayFaculty of Economics and Finance, Clarkson University, Potsdam, NY, 13676
&
G. Geoffrey BoothCollege of Business Administration, Louisiana State University, Baton Rouge, LA, 70803
Pages 51-57 | Published online: 02 Jul 2012

REFERENCES

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  • Koutrouvelis, I., 1981. “An Iterative Procedure for the Estimation of the Parameters of Stable Laws,”, Communications in Statistics, Part B—Simulation and Computation 10 (1981), pp. 17–28.
  • Mandelbrot, B., 1963. “The Variation of Certain Speculative Prices,”, Journal of Business 36 (1963), pp. 394–419.
  • McCulloch, H., 1978. “Continuous-Time Processes With Stable Increments,”, Journal of Business 51 (1978), pp. 601–619.
  • Officer, R., 1972. “The Distribution of Stock Returns,”, Journal of the American Statistical Association 67 (1972), pp. 807–812.
  • Rosenfeld, E., 1980. “Stochastic Processes of Common Stock Behavior,”. Massachusetts Institute of Technology, Dept, of Management.; 1980, unpublished Ph.D. dissertation.
  • Rozelle, J., and Fielitz, B., 1980. “Skewness in Common Stock Returns,”, Financial Review 15 (1980), pp. 1–23.
  • Simkowitz, M., and Beedles, W., 1980. “Asymmetric Stable Distributed Security Returns,”, Journal of the American Statistical Association 75 (1980), pp. 306–312.

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