Stochastic Properties of German Stock Returns
We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of the tests for serial correlation, depends on distributional assumptions which are often overlooked.
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Volume (Year): 21 (1996)
Issue (Month): 2 ()
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