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The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions

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  • Lau, Hon-Shiang
  • Lau, Amy Hing Ling

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  • Lau, Hon-Shiang & Lau, Amy Hing Ling, 1997. "The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions," European Journal of Operational Research, Elsevier, vol. 100(1), pages 60-71, July.
    • Handle: RePEc:eee:ejores:v:100:y:1997:i:1:p:60-71
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    1. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1987. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply," Journal of Finance, American Finance Association, vol. 42(1), pages 189-194, March.
    2. Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 217-223, April.
    3. Vedat Akgiray & G. Geoffrey Booth, 1987. "Compound Distribution Models Of Stock Returns: An Empirical Comparison," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 269-280, September.
    4. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
    5. Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 107-122, June.
    6. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    7. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    8. Akgiray, Vedat & Booth, G Geoffrey, 1988. "The Stable-Law Model of Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 51-57, January.
    9. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    10. Akgiray, Vedat & Lamoureux, Christopher G, 1989. "Estimation of Stable-Law Parameters: A Comparative Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 85-93, January.
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