The Volcano Distribution with an Application to Stock Market Returns

Michael Naaman and Robin Sickles

Working Papers from Rice University, Department of Economics

Abstract: Power-law distributions have a wide range of applications including physics, economics, and biology. We derive a new family of densities with support on the real line which obeys a broken power law called the volcano distribution. An estimation procedure is also outlined. The volcano density is very flexible as it can be unbounded or bimodal. It allows for an infinite mean or an undefined mean. The complexity of this distribution calls for a novel semiparametric estimation approach which we apply to stock market returns data.

Date: 2015-08
New Economics Papers: this item is included in nep-hme
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economics.rice.edu/file/786/download?token=V_Qy5wH7
Our link check indicates that this URL is bad, the error code is: 406 Not Acceptable

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:riceco:15-020

Access Statistics for this paper

More papers in Working Papers from Rice University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().