Peaks or tails - What distinguishes financial data?

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.

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Year of publication:	2001-01-10
Authors:	KrÄmer, Walter ; Runde, Ralf
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 25.2000, 4, p. 665-671
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	empirical densities \| heavy tails

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: March 1998/Final version received: April 2000
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005382278