AUTOREGRESSIVE JUMP PROCESS FOR COMMON STOCK RETURNS

[1] A TEST OF GOODNESS OF FIT [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1954, 49 (268) : 765 - 769

[2] Bachelier L., 1900, THEORIE SPECULATION

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[4] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J]. JOURNAL OF BUSINESS, 1974, 47 (02) : 244 - 280

[5] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J]. ECONOMETRICA, 1973, 41 (01) : 135 - 155

[6] Cox D., 1965, THEORY STOCHASTIC PR, DOI 10.1201/9780203719152

[7] COX JC, 1975, 275 U PENNS RL WHIT

[8] THE BEHAVIOR OF STOCK-MARKET PRICES [J]. JOURNAL OF BUSINESS, 1965, 38 (01) : 34 - 105

[9] MANDELBROT AND THE STABLE PARETIAN HYPOTHESIS [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 420 - 429

[10] Feller W., 1966, INTRO PROBABILITY TH, V2

[1] A TEST OF GOODNESS OF FIT [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1954, 49 (268) : 765 - 769

[2] Bachelier L., 1900, THEORIE SPECULATION

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[4] COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES [J]. JOURNAL OF BUSINESS, 1974, 47 (02) : 244 - 280

[5] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J]. ECONOMETRICA, 1973, 41 (01) : 135 - 155

[6] Cox D., 1965, THEORY STOCHASTIC PR, DOI 10.1201/9780203719152

[7] COX JC, 1975, 275 U PENNS RL WHIT

[8] THE BEHAVIOR OF STOCK-MARKET PRICES [J]. JOURNAL OF BUSINESS, 1965, 38 (01) : 34 - 105

[9] MANDELBROT AND THE STABLE PARETIAN HYPOTHESIS [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 420 - 429

[10] Feller W., 1966, INTRO PROBABILITY TH, V2