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The Stable-Law Model of Stock Returns
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The Stable-Law Model of Stock Returns
The Stable-Law Model of Stock Returns
VA
Vedat Akgiray
Vedat Akgiray
GB
G. Geoffrey Booth
G. Geoffrey Booth
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1 January 1988
journal article
Published by
JSTOR
in
Journal of Business & Economic Statistics
Vol. 6
(1)
,
51
https://doi.org/10.2307/1391417
Abstract
This study investigates the tail shapes of empirical distributions of returns on an extensive group of common stocks. The tails of the return distributions are ...
Keywords
STOCK RETURNS
STABLE LAW MODEL
MODEL OF STOCK
TAILS
EMPIRICAL DISTRIBUTIONS
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Open Access
Cited by 60 articles