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Asymmetric Lévy flight in financial ratios
Because financial crises are characterized by dangerous rare events that occur more frequently than those predicted by models with finite variances, we investigate the underlying stochastic process generating these events. In the 1960s Mandelbrot [Mandelbrot B (1963) J Bus 36:394–419] and Fama [Fama...
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| Main Authors: | , , , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
National Academy of Sciences
2011
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| Teme: | |
| Online dostop: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3207691/ https://ncbi.nlm.nih.gov/pubmed/22006296 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.1113330108 |
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