q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations

Yuri A. Katz and Li Tian

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 20, 4989-4996

Abstract: We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006–2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of q-Gaussian distributions with the Tsallis entropic parameter within the interval 1Keywords: Default risk; q-Gaussian distribution; First stopping time (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:20:p:4989-4996

DOI: 10.1016/j.physa.2013.06.035

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