American Journal of Theoretical and Applied Statistics
Volume 2, Issue 2, March 2013, Pages: 38-41
Received: Mar. 6, 2013;
Published: Apr. 2, 2013
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E. Reschenhofer, Department of Statistics and Operations Research, University of Vienna, Vienna, Austria
Comparing the order statistics of daily returns of the S&P 500 index from 03.01.1950 to 04.03.2013 with the corresponding rankits, a linear scale dilation is observed. This observation is used to derive a five-parameter density function for the parsimonious description of the unconditional distribution of stock returns. The typical graph of this density function looks like a wizard's hat. Its signature feature is the discontinuity at zero.
Linear Scale Dilation of Asset Returns, American Journal of Theoretical and Applied Statistics.
Vol. 2, No. 2,
2013, pp. 38-41.
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