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99-088/2 - Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series

  • Authors
    Jaap Geluk, Econometric Institute, Erasmus University Rotterdam; Liang Peng, Center for Mathematics and its Applications, Australian National University, Canberra; Casper G. de Vries, Erasmus University Rotterdam
  • Publication date
    November 18, 1999
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