Abstract Lots of empirical studies show that stock market exhibits some so called styled facts such as volatility clustering, fat tail (leptokurtosis) and long memory of return, which are difficult for the traditional financial theory to explain. But why th ...
苦苦寻觅,终于找到B B Mandelbrot 的一篇经典论文 The variation of certain speculative prices - Journal of Business 36(1963) 394-416。共享之。 The variation of certain speculative prices