A Note on the Distribution of Stock Price Changes
作者:
John Teichmoeller,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1971)
卷期:
Volume 66,
issue 334
页码: 282-284
ISSN:0162-1459
年代: 1971
DOI:10.1080/01621459.1971.10482254
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
An estimator for the characteristic exponent parameter of distributions of the symmetric, stable class has been developed by Fama and Roll [2]. This estimator was applied to empirical distributions of stock price changes. A suggestive test utilizing the properties of the characteristic exponent was performed on these distributions, and the result was that stock prices do not appear to be distributed as a simple mixture of normal distributions.
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