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:	1999
Authors:	Krämer, Walter ; Runde, Ralf
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

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Series:	Technical Report ; 1999,08
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	768051681 [GVK] hdl:10419/77253 [Handle] RePEc:zbw:sfb475:199908 [RePEc]
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316596