{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,8]],"date-time":"2026-02-08T04:39:46Z","timestamp":1770525586677,"version":"3.49.0"},"reference-count":27,"publisher":"Elsevier BV","issue":"1","license":[{"start":{"date-parts":[[1997,7,1]],"date-time":"1997-07-01T00:00:00Z","timestamp":867715200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["European Journal of Operational Research"],"published-print":{"date-parts":[[1997,7]]},"DOI":"10.1016\/s0377-2217(95)00330-4","type":"journal-article","created":{"date-parts":[[2003,4,4]],"date-time":"2003-04-04T19:21:01Z","timestamp":1049484061000},"page":"60-71","source":"Crossref","is-referenced-by-count":2,"title":["The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions"],"prefix":"10.1016","volume":"100","author":[{"given":"Hon-Shiang","family":"Lau","sequence":"first","affiliation":[]},{"given":"Amy Hing Ling","family":"Lau","sequence":"additional","affiliation":[]}],"member":"78","reference":[{"key":"10.1016\/S0377-2217(95)00330-4_BIB1","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/j.1475-6803.1987.tb00497.x","article-title":"Compound distribution models of stock returns: An empirical comparison","volume":"10","author":"Akgiray","year":"1987","journal-title":"Journal of Financial Research"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB2","doi-asserted-by":"crossref","first-page":"51","DOI":"10.2307\/1391417","article-title":"The stable-law model of stock returns","volume":"6","author":"Akgiray","year":"1988","journal-title":"Journal of Business & Economic Statistics"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB3","doi-asserted-by":"crossref","first-page":"85","DOI":"10.2307\/1391841","article-title":"Estimation of stable-law parameters: A comparative study","volume":"7","author":"Akgiray","year":"1989","journal-title":"Journal of Business & Economic Statistics"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB4","doi-asserted-by":"crossref","first-page":"563","DOI":"10.1111\/j.1540-5915.1990.tb00334.x","article-title":"Optimal portfolio selection using the general multi-index model: A stable Paretian framework","volume":"21","author":"Chamberlain","year":"1990","journal-title":"Decision Sciences"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB5","doi-asserted-by":"crossref","first-page":"340","DOI":"10.2307\/2285309","article-title":"A method for simulating stable random variables","volume":"71","author":"Chambers","year":"1976","journal-title":"Journal of the American Statistical Association"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB6","doi-asserted-by":"crossref","first-page":"531","DOI":"10.1002\/fut.3990040407","article-title":"Stable distribution, futures prices and the measurement of trading performance","volume":"4","author":"Cornew","year":"1984","journal-title":"The Journal of Futures Markets"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB7","doi-asserted-by":"crossref","first-page":"1019","DOI":"10.1214\/aos\/1176346318","article-title":"Estimating the stable index a in order to measure tail thickness: A critique","volume":"11","author":"DuMouchel","year":"1983","journal-title":"The Annals of Statistics"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB8","doi-asserted-by":"crossref","first-page":"404","DOI":"10.1287\/mnsc.11.3.404","article-title":"Portfolio analysis in a stable Paretian market","volume":"11","author":"Fama","year":"1965","journal-title":"Management Science"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB9","doi-asserted-by":"crossref","first-page":"331","DOI":"10.2307\/2283932","article-title":"Parameter estimates for symmetric stable distributions","volume":"66","author":"Fama","year":"1971","journal-title":"Journal of the American Statistical Association"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB10","doi-asserted-by":"crossref","first-page":"28","DOI":"10.2307\/2287096","article-title":"Stable distributions and the mixtures of distributions hypotheses for common stock returns","volume":"78","author":"Fielitz","year":"1983","journal-title":"Journal of the American Statistical Association"},{"issue":"5","key":"10.1016\/S0377-2217(95)00330-4_BIB11","first-page":"1240","article-title":"Futures prices are not stable-Paretian distributed","volume":"23","author":"Gribbin","year":"1992","journal-title":"The Journal of Futures Markets"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB12","doi-asserted-by":"crossref","first-page":"105","DOI":"10.2307\/2330751","article-title":"The distribution of futures prices: A test of the stable Paretian and mixture of Normals hypothesis","volume":"24","author":"Hall","year":"1989","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB13","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1002\/fut.3990070305","article-title":"Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle","volume":"7","author":"Hudson","year":"1987","journal-title":"The Journal of Futures Markets"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB14","doi-asserted-by":"crossref","first-page":"918","DOI":"10.2307\/2287182","article-title":"Regression-type estimation of the parameters of stable laws","volume":"75","author":"Koutrouvelis","year":"1980","journal-title":"Journal of the American Statistical Association"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB15","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1080\/03610918108812189","article-title":"An iterative procedure for the estimation of the parameters of stable laws","volume":"B10","author":"Koutrouvelis","year":"1981","journal-title":"Communications in Statistics"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB16","doi-asserted-by":"crossref","first-page":"217","DOI":"10.2307\/1391984","article-title":"The distribution of stock returns: New evidence against the stable model","volume":"8","author":"Lau","year":"1990","journal-title":"Journal of Business & Economic Statistics"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB17","series-title":"The effects of mixtures on some methodologies for stable-Paretian distributions","author":"Lau","year":"1992"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB18","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1080\/00949659308811541","article-title":"The reliability of the stability-under-addition test for the stable-Paretian hypothesis","volume":"48","author":"Lau","year":"1993","journal-title":"Journal of Statistical Computation and Simulation"},{"issue":"4","key":"10.1016\/S0377-2217(95)00330-4_BIB19","doi-asserted-by":"crossref","first-page":"521","DOI":"10.1111\/j.1468-5957.1995.tb00375.x","article-title":"On modeling cross sectional distributions of financial ratios","volume":"22","author":"Lau","year":"1995","journal-title":"Journal of Business Finance & Accounting"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB20","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1086\/294632","article-title":"The variation of certain speculative prices","volume":"36","author":"Mandelbrot","year":"1963","journal-title":"Journal of Business"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB21","doi-asserted-by":"crossref","first-page":"1109","DOI":"10.1080\/03610918608812563","article-title":"Simple consistent estimators of stable distribution parameters","volume":"15","author":"McCulloch","year":"1986","journal-title":"Communications in Statistics - Simulation"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB22","series-title":"Measuring tail thickness in order to estimate the stable index \u03b1: A critique","author":"McCulloch","year":"1994"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB23","doi-asserted-by":"crossref","first-page":"693","DOI":"10.2307\/2327703","article-title":"The distribution of foreign exchange price changes: Trading day effects and risk measurement","volume":"37","author":"McFarland","year":"1982","journal-title":"Journal of Finance"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB24","doi-asserted-by":"crossref","first-page":"189","DOI":"10.2307\/2328430","article-title":"The distribution of foreign exchange price changes: Trading day effects and risk measurement - A reply","volume":"42","author":"McFarland","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB25","doi-asserted-by":"crossref","first-page":"807","DOI":"10.2307\/2284641","article-title":"The distribution of stock returns","volume":"67","author":"Officer","year":"1972","journal-title":"Journal of the American Statistical Association"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB26","series-title":"The Behavior of Interest Rates: An Application of the Efficient Market Model to US Treasury Bills","author":"Roll","year":"1970"},{"key":"10.1016\/S0377-2217(95)00330-4_BIB27","doi-asserted-by":"crossref","first-page":"107","DOI":"10.2307\/2329897","article-title":"Efficient portfolio selection for ParetoLevy investments","volume":"2","author":"Samuelson","year":"1967","journal-title":"Journal of Financial and Quantitative Analysis"}],"container-title":["European Journal of Operational Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0377221795003304?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0377221795003304?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2019,4,22]],"date-time":"2019-04-22T19:29:04Z","timestamp":1555961344000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0377221795003304"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1997,7]]},"references-count":27,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1997,7]]}},"alternative-id":["S0377221795003304"],"URL":"https:\/\/doi.org\/10.1016\/s0377-2217(95)00330-4","relation":{},"ISSN":["0377-2217"],"issn-type":[{"value":"0377-2217","type":"print"}],"subject":[],"published":{"date-parts":[[1997,7]]}}}