Malevergne, Y.; Pisarenko, V.; Sornette, D. - In: Quantitative Finance 5 (2005) 4, pp. 379-401
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent b close to 3. We develop a battery of new non-parametric and parametric tests to characterize the distributions of empirical returns of...
