Peaks or tails: What distinguishes financial data?

Walter Krämer and Ralf Runde

No 1999,08, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 1999
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Journal Article: Peaks or tails - What distinguishes financial data? (2000)
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