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Digitale Medien

Peaks or tails – What distinguishes financial data? (2000)

Krämer, Walter ; Runde, Ralf

Springer

Empirical economics 25 (2000), S. 665-671

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Details

ISSN: 1435-8921

Schlagwort(e): Key words: empirical densities ; heavy tails ; JEL classification: C13 ; C14

Quelle: Springer Online Journal Archives 1860-2000

Thema: Wirtschaftswissenschaften

Notizen: 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.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/s001810000041

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