The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions

European Journal of Operational Research

Volumn 100, Issue 1, 1997, Pages 60-71

  Lau, Hon Shiang ^a   Lau, Amy Hing Ling ^a  

^a OKLAHOMA STATE UNIVERSITY   (United States)

Author keywords

Finance; Mixture of distributions; Stable Paretian distribution

Indexed keywords

DECISION THEORY; ECONOMICS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY;

DISTRIBUTION MIXTURES; STABLE PARETIAN DISTRIBUTIONS;

FINANCE;

EID: 0031193087     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(95)00330-4     Document Type: Article

References (27)

1. Akgiray, V., and Booth, G. (1987), "Compound distribution models of stock returns: An empirical comparison", Journal of Financial Research 10, 269-280.
2. Akgiray, V., and Booth, G. (1988), "The stable-law model of stock returns", Journal of Business & Economic Statistics 6, 51-57.
3. Akgiray, V., and Lamoureux, C. (1989), "Estimation of stable-law parameters: A comparative study", Journal of Business & Economic Statistics 7, 85-93.
4. Chamberlain, T., Cheung, C., and Kwan, C. (1990), "Optimal portfolio selection using the general multi-index model: A stable Paretian framework", Decision Sciences 21, 563-571.
5. Chambers, J., Mallows, C., and Stuck, B. (1976), "A method for simulating stable random variables", Journal of the American Statistical Association 71, 340-344.
6. Cornew, R., Town, D., and Crowson, L. (1984), "Stable distribution, futures prices and the measurement of trading performance", The Journal of Futures Markets 4, 531-557.
7. DuMouchel, W. (1983), "Estimating the stable index α in order to measure tail thickness: A critique", The Annals of Statistics 11, 1019-1031.
8. Fama, E. (1965), "Portfolio analysis in a stable Paretian market", Management Science 11, 404-419.
9. Fama, E., and Roll, R. (1971), "Parameter estimates for symmetric stable distributions", Journal of the American Statistical Association 66, 331-338.
10. Fielitz, B., and Rozelle, J. (1983), "Stable distributions and the mixtures of distributions hypotheses for common stock returns", Journal of the American Statistical Association 78, 28-36.
11. Gribbin, D., Harris, R., and Lau, H. (1992), "Futures prices are not stable-Paretian distributed", The Journal of Futures Markets 23/5, 1240-1250.
12. Hall, J., Brorsen, B., and Irwin, S. (1989), "The distribution of futures prices: A test of the stable Paretian and mixture of Normals hypothesis", Journal of Financial and Quantitative Analysis 24, 105-116.
13. Hudson, M., Leuthold, R., and Sarassoro, G. (1987), "Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle", The Journal of Futures Markets 7, 287-301.
14. Koutrouvelis, I. (1980), "Regression-type estimation of the parameters of stable laws", Journal of the American Statistical Association 75, 918-928.
15. Koutrouvelis, I. (1981), "An iterative procedure for the estimation of the parameters of stable laws", Communications in Statistics B10, 17-28.
16. Lau, A., Lau, H., and Wingender, J. (1990), "The distribution of stock returns: New evidence against the stable model", Journal of Business & Economic Statistics 8, 217-223.
17. Lau, H., and Lau, A. (1992), "The effects of mixtures on some methodologies for stable-Paretian distributions", Working Paper, Oklahoma State University.
18. Lau, H., and Lau, A. (1993), "The reliability of the stability-under-addition test for the stable-Paretian hypothesis", Journal of Statistical Computation and Simulation 48, 67-80.
19. Lau, H., Lau, A., and Gribbin, D. (1995), "On modeling cross sectional distributions of financial ratios", Journal of Business Finance & Accounting 22/4, 521-549.
20. Mandelbrot, B. (1963), "The variation of certain speculative prices", Journal of Business 36, 394-419.
21. McCulloch, J. (1986), "Simple consistent estimators of stable distribution parameters", Communications in Statistics - Simulation 15, 1109-1136.
22. McCulloch, J. (1994), "Measuring tail thickness in order to estimate the stable index α: A critique", Working Paper, Ohio State University.
23. McFarland, J., Pettit, R., and Sung, S. (1982), "The distribution of foreign exchange price changes: Trading day effects and risk measurement", Journal of Finance 37, 693-715.
24. McFarland, J., Pettit, R., and Sung, S. (1987), "The distribution of foreign exchange price changes: Trading day effects and risk measurement - A reply", Journal of Finance 42, 189-193.
25. Officer, R. (1972), "The distribution of stock returns", Journal of the American Statistical Association 67, 807-812.
26. Roll, R. (1970), The Behavior of Interest Rates: An Application of the Efficient Market Model to US Treasury Bills, Basic Books, New York.
27. Samuelson, P. (1967), "Efficient portfolio selection for Pareto-Levy investments", Journal of Financial and Quantitative Analysis 2, 107-117.