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  • Search: subject:"finite variance"
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Year of publication
Subject
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equation 8 finite variance 8 probability 7 statistics 7 equations 6 logarithm 6 time series 6 econometrics 5 probability distribution 5 samples 5 statistic 5 Economic models 4 computation 4 correlation 4 covariance 4 forecasting 4 normal distribution 4 probability density 4 probability density function 4 random variable 4 standard deviation 4 stochastic process 4 survey 4 Stable distributions 3 bootstrap 3 calibration 3 characteristic function 3 cointegration 3 confidence interval 3 crude oil 3 crude oil markets 3 crude oil prices 3 descriptive statistics 3 generating function 3 integral 3 kurtosis 3 linear model 3 linear models 3 martingale 3 maximum likelihood method 3
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Online availability
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Free 10 Undetermined 3
Type of publication
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Book / Working Paper 10 Article 3
Language
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English 7 Undetermined 6
Author
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Cappuccio, Nunzio 3 Krichene, Noureddine 3 Lubian, Diego 3 Erbas, S. Nuri 1 Grabchak, Michael 1 Imbs, Jean 1 Kalra, Sanjay 1 Kurbanov, S. 1 Mumtaz, Haroon 1 Rahimov, I. 1 Ravn, Morten O. 1 Rey, Helene 1 Samorodnitsky, Gennady 1 Sarno, Lucio 1 Sodsriwiboon, Piyaporn 1
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Institution
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International Monetary Fund (IMF) 8 Dipartimento di Scienze Economiche, Facoltà di Economia 2 International Monetary Fund 1
Published in...
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IMF Working Papers 8 Working Papers / Dipartimento di Scienze Economiche, Facoltà di Economia 2 Annals of the Institute of Statistical Mathematics 1 Mathematics and Computers in Simulation (MATCOM) 1 Quantitative Finance 1
Source
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RePEc 13
Showing 11 - 13 of 13
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Do financial returns have finite or infinite variance? A paradox and an explanation
Grabchak, Michael; Samorodnitsky, Gennady - In: Quantitative Finance 10 (2010) 8, pp. 883-893
One of the major points of contention in studying and modelling financial returns is whether or not the variance of the returns is finite or infinite (sometimes referred to as the Bachelier-Samuelson Gaussian world versus the Mandelbrot stable world). A different formulation of the question asks...
Persistent link: https://www.econbiz.de/10008675028
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On the number of productive individuals in the Bienayme–Galton–Watson process with immigration
Rahimov, I.; Kurbanov, S. - In: Mathematics and Computers in Simulation (MATCOM) 76 (2007) 1, pp. 177-180
with time homogeneous immigration and distribution of the number of descendants has finite variance are obtained. An …
Persistent link: https://www.econbiz.de/10011050277
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Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-finite Variance Errors
Cappuccio, Nunzio; Lubian, Diego - In: Annals of the Institute of Statistical Mathematics 59 (2007) 3, pp. 403-423
Persistent link: https://www.econbiz.de/10005616446
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