INFINITE VARIANCE AND RESEARCH STRATEGY IN TIME SERIES ANALYSIS

被引:81
作者
GRANGER, CWJ
ORR, D
机构
关键词
D O I
10.2307/2284369
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:275 / &
相关论文
共 16 条
[1]  
Beveridge WH, 1921, ECON J, V31, P429
[2]   SOME PROPERTIES OF SYMMETRIC STABLE DISTRIBUTIONS [J].
FAMA, EF ;
ROLL, R .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1968, 63 (323) :817-&
[3]   PARAMETER ESTIMATES FOR SYMMETRIC STABLE DISTRIBUTIONS [J].
FAMA, EF ;
ROLL, R .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1971, 66 (334) :331-338
[4]   THE BEHAVIOR OF STOCK-MARKET PRICES [J].
FAMA, EF .
JOURNAL OF BUSINESS, 1965, 38 (01) :34-105
[5]  
Gnedenko B.V., 1954, LIMIT DISTRIBUTIONS
[6]  
GRANGER CWJ, UNPUBLISHED REPORT
[7]  
HEATHCOTE CR, UNPUBLISHED REPORT
[8]   VARIATION OF SOME OTHER SPECULATIVE PRICES [J].
MANDELBROT, B .
JOURNAL OF BUSINESS, 1967, 40 (04) :393-413
[9]   THE VARIATION OF CERTAIN SPECULATIVE PRICES [J].
MANDELBROT, B .
JOURNAL OF BUSINESS, 1963, 36 (04) :394-419
[10]  
Morgenstern O., 1970, PREDICTABILITY STOCK