Stable distributions for asset returns

Stefan Mittnik; Svetlozar T. Rachev

doi:10.1016/0893-9659(89)90074-8

Stable distributions for asset returns

Stefan Mittnik, Svetlozar T. Rachev

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

27 Scopus citations

Abstract

Alternative stable distributions for modeling returns on financial assets are proposed. Their goodness-of-fit with respect to daily stock-index data is compared.

Original language	English
Pages (from-to)	301-304
Number of pages	4
Journal	Applied Mathematics Letters
Volume	2
Issue number	3
DOIs	https://doi.org/10.1016/0893-9659(89)90074-8
State	Published - 1989

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title = "Stable distributions for asset returns",

abstract = "Alternative stable distributions for modeling returns on financial assets are proposed. Their goodness-of-fit with respect to daily stock-index data is compared.",

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