Logarithmic Stock Returns: Leptokustosis, Heteroskedasticity and Change-Points

C Weiner

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: There are serious reasons to assume that logarithmic stock returns are normally distributed, however, it is frequently denoted that the empirical distribution of stock returns characteristically deviates from a normal distribution : It is leptokurtic, it is peaked and it has thick tails.

Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:louvis:9612

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