Corazza, Marco; Malliaris, A. G. - In: Multinational Finance Journal 6 (2002) 2, pp. 65-98
Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Levy stable (PLs) distributed, whereas others have...