Superstatistical fluctuations in time series of leverage returns

Y.A. Katz and L. Tian

Physica A: Statistical Mechanics and its Applications, 2014, vol. 405, issue C, 326-331

Abstract: We analyze to what extent the emergence of fat-tailed q-Gaussian distributions of daily leverage returns of North American industrial companies that survive default and de-listing between 2006 and 2012 can be described by superstatistics. To this end, we compare mean values of the Tsallis entropic parameter q obtained by two independent methods: (i) direct fitting of q-Gaussians to distributions of leverage returns; and (ii) derived from shape parameters of Gamma distributions fitted to histograms of inverted realized variances of these returns. For a vast majority of companies, we observe the striking consistency of average values of q obtained by both methods. This finding supports the applicability of superstatistical hypothesis, which assumes that q-Gaussians result from the superposition of locally normal distributions with Gamma-distributed precision (inverted variance).

Keywords: Superstatistics; Default risk; q-Gaussian distributions (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:405:y:2014:i:c:p:326-331

DOI: 10.1016/j.physa.2014.03.036

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