We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the...

Using a generalized cross-spectral approach, we propose a model-free omnibus statistical procedure to check whether the direction of changes in an economic variable is predictable using the history of its past changes. A class of separate inference procedures are also given to gauge possible...

In this article we obtain the characteristic functions (c.f.'s) for 1-spherical distributions and simplify that of the 1-norm symmetric distributions to an expression of a finite sum. These forms of c.f.'s can be used to derive the probability density functions (p.d.f.'s) of linear combinations...