Liu, Shi-Miin; Brorsen, B Wade - In: Review of Quantitative Finance and Accounting 5 (1995) 2, pp. 155-67
A GARCH-stable process is tested as a model of the distribution of daily future prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by...