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Stable Distributions

References

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References

 

Kemp, M.H.D. (2009). Market consistency: Model calibration in imperfect markets. John Wiley & Sons [for further information on this book please MarketConsistency]

 

Longuin, F. (1993). Booms and crashes: application of extreme value theory to the U.S. stock market. Institute of Finance and Accounting, London Business School, Working Paper No 179

 

Nolan, J.P. (2005). Modelling financial data with stable distributions.

 


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