Burnecki, Krzysztof; Gajda, Janusz; Sikora, Grzegorz - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 18, pp. 3136-3146
In this paper we show that the logarithmic returns of the Hang Seng index from January 2, 1987 to November 14, 2005 statistically resemble a sequence of independent identically distributed Lévy stable random variables. This is in stark contrast to Xiu and Jin (2007) [39], where long-memory...