References

• 1996A test for independence based on the correlation dimension3,526 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
• 1995Quadratic ARCH Models559 cited
• 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
• 2000A Practical Guide to Heavy Tails451 cited
• 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
• 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
• 1997Heavy tail modeling and teletraffic data: special invited paper288 cited
• 1997A single-blind controlled competition among tests for nonlinearity and chaos248 cited
• 1988The Stable-Law Model of Stock Returns240 cited
• 1974On the Stable Paretian Behavior of Stock-Market Prices230 cited
• 1995Heavy Tail Modelling and Teletraffic Data186 cited
• 1997Measuring Tail Thickness to Estimate the Stable Index α: A Critique183 cited
• 1990The Distribution of Stock Returns: New Evidence Against the Stable Model