TY - JOUR
T1 - A reexamination of the empirical distribution of stock price changes
AU - Barnea, Amir
AU - Downes, David H.
PY - 1973/6
Y1 - 1973/6
N2 - Teichmoeller [11] applied Fama and Roll’s [5] technique of estimating the characteristic exponent parameter of symmetric stable distributions to a sample of empirical distributions of stock price changes and found the parameter to be fairly stable as the differencing interval was increased. We criticize the sample of stocks used by Teichmoeller and, using the same estimation technique on a different sample, find the empirical distributions of stock price changes to be unstable.
AB - Teichmoeller [11] applied Fama and Roll’s [5] technique of estimating the characteristic exponent parameter of symmetric stable distributions to a sample of empirical distributions of stock price changes and found the parameter to be fairly stable as the differencing interval was increased. We criticize the sample of stocks used by Teichmoeller and, using the same estimation technique on a different sample, find the empirical distributions of stock price changes to be unstable.
UR - http://www.scopus.com/inward/record.url?scp=0000359004&partnerID=8YFLogxK
U2 - 10.1080/01621459.1973.10482431
DO - 10.1080/01621459.1973.10482431
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AN - SCOPUS:0000359004
VL - 68
SP - 348
EP - 350
JO - Journal of the American Statistical Association
JF - Journal of the American Statistical Association
SN - 0162-1459
IS - 342
ER -