Logarithmic Stock Returns : Leptokustosis, Heteroskedasticity and Change-Points.

There are serious reasons to assume that logarithmic stock returns are normally distributed, however, it is frequently denoted that the empirical distribution of stock returns characteristically deviates from a normal distribution : It is leptokurtic, it is peaked and it has thick tails.

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Year of publication:	1996
Authors:	Weiner, C
Institutions:	Catholique de Louvain - Institut de statistique
Subject:	STATISTICS

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Series:	Catholique de Louvain - Institut de statistique.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005475065