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Stable Distributions: Probability, Inference, and Applications in Finance—A Survey, and a Review of Recent Results

  • S. J. Press
Part of the NATO Advanced Study Institutes Series book series (ASIC, volume 17)

Summary

This paper provides an overview of the stable probability laws. The probability theory underlying this class is reviewed from both a univariate and multivariate standpoint. Known results on estimating parameters of the laws are summarized and some new Monte Carlo results involving estimation by using sample characteristic functions is reported. The growing controversy regarding the application of these laws in the field of Finance is examined in terms of the most recent evidence.

Key Words

Stable distributions multivariate stable laws applications in finance 

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Copyright information

© D. Reidel Publishing Company, Dordrecht-Holland 1975

Authors and Affiliations

  • S. J. Press
    • 1
    • 2
  1. 1.University of ChicagoChicagoUSA
  2. 2.University of British ColumbiaVancouverCanada

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