361 lines
14 KiB
Text
361 lines
14 KiB
Text
\begin{thebibliography}{63}
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\providecommand{\natexlab}[1]{#1}
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\providecommand{\url}[1]{\texttt{#1}}
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\expandafter\ifx\csname urlstyle\endcsname\relax
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\providecommand{\doi}[1]{doi: #1}\else
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\providecommand{\doi}{doi: \begingroup \urlstyle{rm}\Url}\fi
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\bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook}
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Milton Abramowitz et Irene~A. Stegun.
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\newblock \emph{Handbook Of Mathematical Functions: With Formulas, Graphs, And
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Mathematical Tables}, volume~55.
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\newblock Dover Publications, 1965.
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\bibitem[Applebaum(2004)]{applebaum2004levy}
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David Applebaum.
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\newblock Lévy processes: From probability to finance and quantum groups.
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\newblock \emph{Notices Of The American Mathematical Society}, 51\penalty0
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(11):\penalty0 1336--1347, 2004.
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Louis Bachelier.
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\newblock \emph{Th{\'e}orie De La Sp{\'e}culation}.
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\newblock Gauthier-Villars, 1900.
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\bibitem[Berkson(1980)]{berkson1980minimum}
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Joseph Berkson.
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\newblock Minimum chi-square, not maximum likelihood!
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\newblock \emph{The Annals of Statistics}, pages 457--487, 1980.
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\bibitem[Bingham et Kiesel(2004)]{bingham2004risk}
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Nicholas~H. Bingham et R{\"u}diger Kiesel.
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\newblock \emph{Risk-Neutral Valuation: Pricing And Hedging Of Financial
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Derivatives}.
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\newblock Springer, 2004.
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Fischer Black.
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\newblock The pricing of commodity contracts.
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\newblock \emph{Journal Of Financial Economics}, 3\penalty0 (1):\penalty0
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167--179, 1976.
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\bibitem[Black et Scholes(1973)]{black1973pricing}
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Fischer Black et Myron Scholes.
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\newblock The pricing of options and corporate liabilities.
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\newblock \emph{The Journal Of Political Economy}, pages 637--654, 1973.
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\newblock Bayesian inference for stable distributions.
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\newblock \emph{Journal of the American Statistical Association}, 90\penalty0
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(430):\penalty0 605--613, 1995.
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\newblock \emph{Saddlepoint Approximations With Applications}, volume~22.
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\newblock Cambridge University Press, 2007.
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Peter Carr et Dilip Madan.
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\newblock Option valuation using the fast fourier transform.
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\newblock \emph{Journal Of Computational Finance}, 2\penalty0 (4):\penalty0
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61--73, 1999.
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Martin Crowder.
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\newblock \emph{Econometric Theory}, pages 305--330, 1986.
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Martin Crowder.
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\newblock \emph{Biometrika}, 74\penalty0 (3):\penalty0 591--597, 1987.
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\bibitem[Daniels(1954)]{daniels1954saddlepoint}
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Henry~E Daniels.
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\newblock Saddlepoint approximations in statistics.
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\newblock \emph{The Annals of Mathematical Statistics}, pages 631--650, 1954.
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Emanuel Derman.
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\newblock Model risk.
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\newblock Technical report, Goldman Sachs, 1996.
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Peter P~Carr Dilip B~Madan et Eric~C Chang.
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\newblock The variance gamma process and option pricing.
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\newblock \emph{European Finance Review}, 2\penalty0 (1):\penalty0 79--105,
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1998.
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\newblock Springer Verlag France, 2004.
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Thomas~W Epps.
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\newblock \emph{Pricing Derivative Securities}.
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\newblock World Scientific Publishing Company Incorporated, 2007.
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Thomas~W Epps et Lawrence~B Pulley.
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\newblock \emph{Biometrika}, 70\penalty0 (3):\penalty0 723--726, 1983.
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Brian Everitt et Anders Skrondal.
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\newblock Cambridge University Press Cambridge, 2006.
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3--56, 1993.
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Christian Gourieroux et Alain Monfort.
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\newblock Oxford University Press Oxford, 2005.
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\newblock \emph{Time Series Analysis}, volume~2.
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\newblock Cambridge University Press, 1994.
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Lars~Peter Hansen.
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\newblock Large sample properties of generalized method of moments estimators.
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\newblock \emph{Econometrica: Journal Of The Econometric Society}, pages
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1029--1054, 1982.
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N~Henze.
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\newblock An approximation to the limit distribution of the epps-pulley test
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statistic for normality.
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\newblock \emph{Metrika}, 37\penalty0 (1):\penalty0 7--18, 1990.
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Steven~L Heston.
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\newblock A closed-form solution for options with stochastic volatility with
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applications to bond and currency options.
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327--343, 1993.
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David~V Hinkley et Nagesh~S Revankar.
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\newblock Estimation of the pareto law from underreported data: A further
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analysis.
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\newblock \emph{Journal Of Econometrics}, 5\penalty0 (1):\penalty0 1--11, 1977.
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\newblock \emph{Introduction To Mathematical Statistics}.
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\newblock Macmillan, 1978.
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\newblock ISBN 9780029789902.
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Andrey Itkin.
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\newblock Pricing options with vg model using fft.
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\newblock \emph{arXiv preprint physics/0503137}, 2005.
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Wai Wan~Tsang Jingbo~Wang et George Marsaglia.
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\newblock Evaluating kolmogorov's distribution.
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\newblock A class of asymmetric distributions.
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Tomasz~J Kozubowski et Krzysztof Podg{\'o}rski.
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\newblock Asymmetric laplace laws and modeling financial data.
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Andreas~E Kyprianou.
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\newblock \emph{Introductory Lectures On Fluctuations Of L{\'e}Vy Processes
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With Applications}.
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\newblock Springer, 2007.
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Robert Lugannani et Stephen Rice.
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\newblock Saddle point approximation for the distribution of the sum of
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independent random variables.
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Eugene Lukacs.
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\newblock Griffin London, 1960.
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\newblock Minimum-distance methods based on quadratic distances for transforms.
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\newblock The variance gamma model for share market returns.
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\newblock \emph{Journal Of Business}, pages 511--524, 1990.
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Benoit Mandelbrot.
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\newblock The variation of certain speculative prices.
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\newblock \emph{Journal Of Business}, pages 394--419, 1963.
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Robert~C Merton.
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\newblock Option pricing when underlying stock returns are discontinuous.
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\newblock \emph{Journal Of Financial Economics}, 3\penalty0 (1):\penalty0
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Wesley~C Mitchell.
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\newblock A critique of index numbers of the prices of stocks.
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\newblock \emph{The Journal Of Political Economy}, pages 625--693, 1916.
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Whitney~K Newey et Daniel McFadden.
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\newblock Large sample estimation and hypothesis testing.
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Whitney~K Newey et Kenneth~D West.
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\newblock Hypothesis testing with efficient method of moments estimation.
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T.E.~Mikosch O.E.E. Barndorff-Nielsen et S.I.E. Resnick.
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\newblock \emph{L{\'e}vy Processes: Theory and Applications}.
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\newblock Birkh{\"a}user, 2001.
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Peter~D Praetz.
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\newblock The distribution of share price changes.
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\newblock \emph{Journal Of Business}, pages 49--55, 1972.
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\newblock A compound events model for security prices.
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\newblock \emph{Journal Of Business}, pages 317--335, 1967.
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K.~Sato.
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\newblock \emph{L{\'e}vy Processes And Infinitely Divisible Distributions}.
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\newblock Cambridge Studies in Advanced Mathematics. Cambridge University
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Press, 1999.
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\newblock ISBN 9780521553025.
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Wim Schoutens.
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\newblock \emph{L{\'e}vy Processes In Finance}.
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\newblock Wiley, 2003.
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\bibitem[Scott et Dong(2012)]{RpackageVarianceGamma}
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David Scott et Christine~Yang Dong.
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\newblock \emph{{Variancegamma: The Variance Gamma Distribution}}, 2012.
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\newblock URL \url{http://CRAN.R-project.org/package=VarianceGamma}.
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\newblock R package version 0.3-1.
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\bibitem[Seneta(2004)]{seneta2004fitting}
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Eugene Seneta.
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\newblock Fitting the variance-gamma model to financial data.
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\newblock \emph{Journal Of Applied Probability}, pages 177--187, 2004.
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Samuel~Sanford Shapiro et Martin~B Wilk.
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\newblock An analysis of variance test for normality (complete samples).
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Neil~G Shephard.
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\newblock From characteristic function to distribution function: A simple
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framework for the theory.
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Murray~R Spiegel et John Liu.
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\newblock \emph{Schaum's Mathematical Handbook Of Formulas And Tables}, volume
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1000.
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\newblock McGraw-Hill, 1999.
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Alan Stuart et J~Keith Ord.
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\newblock \emph{Kendall{\rq}s Advanced Theory Of Statistics, Vol. 1}.
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\newblock Oxford University Press, New York, 1987.
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Gerald Teschl.
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\newblock Topics in real and functional analysis.
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\newblock 2004.
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\bibitem[Walter(1995)]{walterlevy}
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Christian Walter.
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\newblock "levy-stability under addition and fractal structure of markets:
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Implications for the actuaries and emphasized examination of matif national
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\newblock In \emph{Proceedings of the 5th AFIR colloquium}, 1995.
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JG~Wendel.
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\newblock The non-absolute convergence of gil-pelaez' inversion integral.
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\newblock \emph{The Annals of Mathematical Statistics}, 32\penalty0
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\bibitem[Wolfowitz(1957)]{wolfowitz1957minimum}
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Jacob Wolfowitz.
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\newblock The minimum distance method.
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\newblock \emph{The Annals Of Mathematical Statistics}, pages 75--88, 1957.
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\bibitem[Wooldridge(2001)]{wooldridge2001econometric}
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Jeffrey~M Wooldridge.
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\newblock \emph{Econometric Analysis Of Cross Section And Panel Data}.
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\newblock MIT press, 2001.
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\end{thebibliography}
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