Gribbin et al. (1992) argue that futures prices are not stable paretian distributed. But, Liu and Brorsen (1992) argue that Cribbin et al. have shown that futures prices are not identically independently stably distributed, but that a stable distribution with time varying scale parameter cannot be r
On the Distribution of Financial Futures Price Changes
โ Scribed by Andrew J. Sterge
- Book ID
- 124933963
- Publisher
- CFA Institute
- Year
- 1989
- Tongue
- English
- Weight
- 562 KB
- Volume
- 45
- Category
- Article
- ISSN
- 0015-198X
- DOI
- 10.2307/4479227
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