所属栏目:资本市场/市场微观结构

The Stable Distribution of Shenzhen Sub-Index
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发布日期:2008年05月03日 上次修订日期:2008年05月03日

摘要

This paper investigate the distribution of daily return of Shenzhen Stock Sub-index using data analysis techniques and model fitting. Stable laws are fitted to empirical distributions using characteristic transformation estimation method. Empirical evidence supports the stable hypothesis the distribution has tails much heavier and more peak around to the center than Gaussian counterparts. Key Words: Shenzhen Sub-Index, Stable distribution, Characteristic transformation
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Han Qiheng; Tang Wansheng The Stable Distribution of Shenzhen Sub-Index (2008年05月03日) https://www.cfrn.com.cn/lw/14467.html

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