On distributions for stock returns: A survey of empirical investigations

被引：0

作者：

Varga, J ^{[1
]}

机构：

[1] Univ Pecs, Fac Business & Econ, Pecs, Hungary

来源：

MANAGING IN UNCERTAINTY: THEORY AND PRACTICE | 1998年 / 19卷

关键词：

pareto-distribution; extremal value theory; tail index;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we give a brief survey of the empirical investigations of the distributions for stock returns and some detailed discussion of German and Hungarian stock returns 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.

引用

页码：139 / 151

页数：13

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