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Reconciling Two Claims About Volatility Under Fat Tails
I have read the Wikipedia article on volatility, and Nassim N. Taleb's Incerto, and found two statements attributed to Mandelbrot's views, which appear to be in contradiction.
Taleb (who was mentored ...
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2
votes
2
answers
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Problem with obtaining densities
For my research I need to obtain a series of densities, however, I am encountering some problems.
The first problem is perhaps very simple, but the answer eludes me. Let's say I have an observation ...
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