COMPARISON OF STABLE AND STUDENT DISTRIBUTIONS AS STATISTICAL MODELS FOR STOCK PRICES

被引：437

作者：

BLATTBERG, RC ^{[1
]}

GONEDES, NJ ^{[1
]}

机构：

[1] UNIV CHICAGO, GRAD SCH BUSINESS, CHICAGO, IL 60637 USA

来源：

关键词：

D O I：

10.1086/295634

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：244 / 280

页数：37

共 43 条

[1]

[Anonymous], 1971, THESIS YALE U

[2]

Arrow K., 1971, THEORY DISCRIMINATIO

[3] THE ROLE OF SECURITIES IN THE OPTIMAL ALLOCATION OF RISK-BEARING [J].

ARROW, KJ .

[4]

Bachelier L, 1964, RANDOM CHARACTER STO

[5]

Bachelier L., 1900, THEORIE SPECULATION

[6]

BACHELIER LOUIS JEAN-BAPTISTE, 1914, JEU CHANCE HASARD

[7]

Bergstrom H., 1952, ARK MAT, V2, P375, DOI DOI 10.1007/BF02591503

[8] PORTFOLIO THEORY - STEP TOWARD ITS PRACTICAL APPLICATION [J].

BLUME, ME .

[9]

CLARK PK, 1971, 1 U MINN CTR EC RES

[10] SOME PROPERTIES OF SYMMETRIC STABLE DISTRIBUTIONS [J].

FAMA, EF ;

ROLL, R .