Laplace-Weibull mixtures for modeling price changes

Laplace-Weibull mixtures for modeling price changes

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Article ID: iaor19941233
Country: United States
Volume: 39
Issue: 8
Start Page Number: 1029
End Page Number: 1038
Publication Date: Aug 1993
Journal: Management Science
Authors: ,
Keywords: statistics: inference, financial
Abstract:

B. Mandelbrot and E. Fama in the sixties, and W. Ziemba in the seventies, suggested stable laws for modeling stock returns and commodity prices. Geometric stable distributions, with Laplace distribution playing the role of a ‘normal’ law, have been found to give better fit to such data. The authors study the ‘stability’ properties of Laplace and a mixture of Laplace and Weibull and discuss the statistical inference for such mixture models. Application of the mixture distribution to modeling price changes in real estate prices in France is given.

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