ISSN:
1435-8921
Keywords:
Key words: empirical densities
;
heavy tails
;
JEL classification: C13
;
C14
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract. We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from “normal” variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data sets of stock returns, both higher peaks and lower peaks than in a standard normal case can be obtained.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s001810000041
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