Empirical Distributions of Log-Returns: Between the Stretched Exponential and the Power Law?
- 1 January 2003
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
Abstract
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponentThis publication has 87 references indexed in Scilit:
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