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.
Similar content being viewed by others
Author information
Authors and Affiliations
Additional information
First version received: March 1998/Final version received: April 2000
Rights and permissions
About this article
Cite this article
Krämer, W., Runde, R. Peaks or tails – What distinguishes financial data?. Empirical Economics 25, 665–671 (2000). https://doi.org/10.1007/s001810000041
Issue Date:
DOI: https://doi.org/10.1007/s001810000041