Hall, Joyce A.; Brorsen, B. Wade; Irwin, Scott H. - In: Journal of Financial and Quantitative Analysis 24 (1989) 01, pp. 105-116
Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain the observed thick-tailed distributions of futures price movements. The two hypotheses are tested by applying the stability-under-addition test of stable distribution parameters to twenty lengthy...