Modeling asset returns with alternative stable distributions
扩展了稳定分布的概念，比较了多种替代稳定分布对S&P 500股票收益率的拟合效果，发现威布尔分布优于包括稳定帕累托分布在内的其他分布。
In the 1960's Benoit Mandelbrot and Eugene Fama argued strongly in favor of the stable Paretian distribution as a model for the unconditional distribution of asset returns. Although a substantial body of subsequent empirical studies supported this position, the stable Paretian model plays a minor role in current empirical work. While in the economics and finance literature stable distributions are virtually exclusively associated with stable Paretian distributions, in this paper we adopt a more fundamental view and extend the concept of stability to a variety of probabilistic schemes. These schemes give rise to alternative stable distributions, which we compare empirically using S&P 500 stock return data. In this comparison the Weibull distribution, associated with both the nonrandom-minimum and geometric-random summation schemes dominates the other stable distributions considered-including the stable Paretian model.