Stock return distributions: A survey of empirical investigations

Varga, József (1999) Stock return distributions: A survey of empirical investigations. Hungarian Statistical Review, 77 (SN3). pp. 23-34. ISSN 0039-0690

Preview

Text 1999_K3_023.pdf Download (200kB) | Preview

Abstract

In this paper we give a brief survey of the empirical investigations of the distribution of stock returns and some detailed discussion of Hungarian and German stock returns as well as the DAX using refined methods. As a conclusion the stable law hypothesis for the stock returns is rejected and procedures requiring much weaker distributional assumptions are suggested instead of the more traditional techniques.

Actions (login required)

Edit Item