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On the Stability of the Distribution of the Market Component in Stock Price Changes

Published online by Cambridge University Press:  19 October 2009

Menachem Brenner
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Extract

Stable distributions are suggested as being the underlying distributions for many economic variables. Capital market variables, in particular, are said to follow a member of the symmetric stable class.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 6 , December 1974 , pp. 945 - 961
Copyright
Copyright © School of Business Administration, University of Washington 1974

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References

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