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Inference robustness of ARIMA models under non-normality —Special application to stock price data

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  • J. Ledolter

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  • J. Ledolter, 1979. "Inference robustness of ARIMA models under non-normality —Special application to stock price data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 26(1), pages 43-56, December.
    • Handle: RePEc:spr:metrik:v:26:y:1979:i:1:p:43-56
    DOI: 10.1007/BF01893469
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    References listed on IDEAS

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    1. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317-317.
    2. 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..
    3. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
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    Cited by:

    1. Yugo Fujimoto & Kei Nakagawa & Kentaro Imajo & Kentaro Minami, 2022. "Uncertainty Aware Trader-Company Method: Interpretable Stock Price Prediction Capturing Uncertainty," Papers 2210.17030, arXiv.org, revised Nov 2022.
    2. Ziyi Zhang & Wai Keung Li, 2019. "An Experiment on Autoregressive and Threshold Autoregressive Models with Non-Gaussian Error with Application to Realized Volatility," Economies, MDPI, vol. 7(2), pages 1-11, June.

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