Peaks or tails - What distinguishes financial data?

Walter Krämer and Ralf Runde ()
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Ralf Runde: Lehrstuhl fØr Wirtschafts- und Sozialstatistik, UniversitÄt Dortmund, Vogelpothsweg 87, D-44221 Dortmund, Germany

Empirical Economics, 2000, vol. 25, issue 4, 665-671

Abstract: We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from "normal" variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data sets of stock returns, both higher peaks and lower peaks than in a standard normal case can be obtained.

Keywords: empirical; densities; ·; heavy; tails (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2001-01-10
Note: received: March 1998/Final version received: April 2000
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