Summary
In this paper we have examined theoretically and empirically the behaviour of stock market prices. Economic theory, analysis of specific distributions, and time series analysis have all been employed.
Through time series analysis we have been able to reject the stable paretian model and show that a compound distribution with interrelated variance is more realistic. We strongly believe that use of time series analysis in this way in the future will greatly increase our knowledge of empirical distributions.
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© 1975 D. Reidel Publishing Company, Dordrecht-Holland
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Resek, R.W. (1975). Symmetric Distributions with Fat Tails: Interrelated Compound Distributions Estimated by Box-Jenkins Methods. In: Patil, G.P., Kotz, S., Ord, J.K. (eds) A Modern Course on Statistical Distributions in Scientific Work. NATO Advanced Study Institutes Series, vol 17. Springer, Dordrecht. https://doi.org/10.1007/978-94-010-1845-6_14
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DOI: https://doi.org/10.1007/978-94-010-1845-6_14
Publisher Name: Springer, Dordrecht
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