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| Author: | Rachev, S. SenGupta, A. |
| Title: | Laplace-Weibull mixtures for modeling price changes |
| Journal: | Management Science
1993 : AUG, VOL. 39:8, p. 1029-1038 |
| Index terms: | DISTRIBUTION ALGORITHMS PRICE LEVEL MODELS |
| Language: | eng |
| 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 Wiabull 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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