✦ LIBER ✦

The distribution of standardized futures price changes

✍ Scribed by Meenakshi Venkateswaran; B. Wade Brorsen; Joyce A. Hall

Publisher: John Wiley and Sons
Year: 1993
Tongue: English
Weight: 978 KB
Volume: 13
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990130305

No coin nor oath required. For personal study only.

✦ Synopsis

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 rejected using Gribbin et al.'s approach.

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