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"Infinite Variance" and Research Strategy in Time Series Analysis
7 references·16 citing·38 second hop
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this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 1970Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the "Announcement Effect"159 cited
  • 1971Predictability of Stock Market Prices.92 cited

Cited by

  • 1990From Mandelbrot to Chaos in Economic Theory118 cited
  • 2011Asymmetric Lévy flight in financial ratios75 cited
  • 2013Emerging markets and heavy tails57 cited
  • 2006Stationarity of a Markov-Switching GARCH Model52 cited
  • 2010Skewness in Stock Returns: Reconciling the Evidence on Firm versus Aggregate Returns52 cited
  • 2012Heavy‐tailed densities41 cited
  • 2005Heavy‐Tailed Distributions39 cited
  • 1980U.K. STATISTICAL DISTRIBUTIONS OF FINANCIAL RATIOS, 197535 cited
  • 1974Price Formation in the Norwegian and Swedish Stock Markets: Some Random Walk Tests

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31 cited
  • 1990Problems in the Paternity of Econometrics: Henry Ludwell Moore27 cited
  • 1990The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes26 cited
  • 2001Re-engineering scientific credit in the era of the globalized information economy18 cited
  • 1981Some Empirical Evidence on the Properties of Daily Cash Flow18 cited
  • 1974EXPLORATORY ANALYSES OF TRIP DISTRIBUTION DATA15 cited
  • 2001ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY14 cited
  • 2001Distribution of parallel exchange rates in African countries14 cited