New statistic for financial return distributions: Power-law or exponential?
نویسندگان
چکیده
منابع مشابه
New statistic for financial return distributions: power-law or exponential?
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a function of the lower threshold u. One important property of these statistics is that they converge to zero for power laws or for exponentials correspondingly, regardless of the value of the exponent o...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2006
ISSN: 0378-4371
DOI: 10.1016/j.physa.2005.10.015