On a related factor, have shown that the bz/b4 test is robust against special events such as the stock market's 1987 "Black Monday" effect, which may be considered as a form of parameter heterogeneity of the generating distributions.
โฆ LIBER โฆ
MULTIVARIATE STABLE FUTURES PRICES
โ Scribed by B. N. Cheng; S. T. Rachev
- Book ID
- 111042997
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 819 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
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