Peaks or Tails - What Distinguishes Financial Data?

Posted: 11 Apr 2001

See all articles by Walter Kraemer

Walter Kraemer

University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

Ralf Runde

University of Dortmund - Lehrstuhl für Wirtschafts-un Sozialstatistik

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

JEL Classification: C13, C14

Suggested Citation

Kraemer, Walter and Runde, Ralf, Peaks or Tails - What Distinguishes Financial Data?. Available at SSRN: https://ssrn.com/abstract=256725

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany
0231 755-3125 (Phone)
0231 755-5284 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Ralf Runde

University of Dortmund - Lehrstuhl für Wirtschafts-un Sozialstatistik ( email )

Vogelpothsweg 87
D-44221 Dortmund
Germany

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