Generalized entropy approach to stable Lèvy distributions with financial application
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DOI: 10.1016/S0378-4371(02)01451-6
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References listed on IDEAS
- Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
- Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285.
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Cited by:
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance 0404013, University Library of Munich, Germany.
- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2004.
"Lévy flights, autocorrelation, and slow convergence,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 369-383.
- Sergio Da Silva, 2004. "Levy Flights, Autocorrelation, and Slow Convergence," Finance 0405021, University Library of Munich, Germany.
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Keywords
Generalized entropy; Lèvy distribution; Scaling index; Finance;All these keywords.
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