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Peaks or tails - What distinguishes financial data?

Author

Listed:
  • Walter KrÄmer

    (Lehrstuhl fØr Wirtschafts- und Sozialstatistik, UniversitÄt Dortmund, Vogelpothsweg 87, D-44221 Dortmund, Germany)

  • Ralf Runde

    (Lehrstuhl fØr Wirtschafts- und Sozialstatistik, UniversitÄt Dortmund, Vogelpothsweg 87, D-44221 Dortmund, Germany)

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.

Suggested Citation

  • Walter KrÄmer & Ralf Runde, 2000. "Peaks or tails - What distinguishes financial data?," Empirical Economics, Springer, vol. 25(4), pages 665-671.
    • Handle: RePEc:spr:empeco:v:25:y:2000:i:4:p:665-671
    Note: received: March 1998/Final version received: April 2000
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    References listed on IDEAS

    as
    1. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    2. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    More about this item

    Keywords

    empirical densities · heavy tails;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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