Abstract
S. Bochner's concept of a subordinate stochastic process is proposed as a model for speculative price series. A general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences. It is shown with both discrete Bayes' tests and Kolmogorov-Smirnov tests that finite-variance distributions subordinate to the normal fit cotton futures price data better than members of the stable family.
Keywords
Variance (accounting)EconomicsEconometricsProcess (computing)Variance componentsMathematical economicsMathematicsApplied mathematicsComputer scienceStatisticsAccounting
Related Publications
Modelling the persistence of conditional variances
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH)...
An Intertemporal General Equilibrium Model of Asset Prices
This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices...
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional varian...
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressi...
Publication Info
- Year
- 1973
- Type
- article
- Volume
- 41
- Issue
- 1
- Pages
- 135-135
- Citations
- 2813
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
2813
OpenAlex
Cite This
Peter K. Clark
(1973).
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.
Econometrica
, 41
(1)
, 135-135.
https://doi.org/10.2307/1913889
Identifiers
- DOI
- 10.2307/1913889