Do financial returns have finite or infinite variance? A paradox and an explanation

Quantitative Finance

Volumn 10, Issue 8, 2010, Pages 883-893

  Grabchak, Michael ^a   Samorodnitsky, Gennady ^b  

^a Department of Obstetrics Gynecology   (United States)

^b Cornell University   (United States)

Author keywords

Bachelier Samuelson model; Financial returns; Finite variance; Heavy tails; Infinite variance; Mandelbrot model

Indexed keywords

EID: 77956771712     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903540381     Document Type: Article

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