A Distribuição de Probabilidade dos Retornos das Ações no Brasil: Uma Abordagem Não-Paramétrica

Sylvia Delgado
Authors registered in the RePEc Author Service: Sylvia D. Gottschalk

Brazilian Review of Econometrics, 1995, vol. 15, issue 1

Abstract: In this paper we estimate the probability distribution function of the daily return on stock of four Brazilian companies, using a non-parametric method, namely, the kernel estimator. Besides, as a comparison, we have performed three normality tests: Kolmogorov-Smirnov, Chi-Square and Jarque-Bera. We have concluded that the density function of the return of Eletrobras, Petrobras, Paranapanema and Telebras cannot be considered normally distributed.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:15:y:1995:i:1:a:2894

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