Abstract
Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain the observed thick-tailed distributions of futures price movements. The two hypotheses are tested by applying the stability-under-addition test of stable distribution parameters to twenty lengthy time series of changes in daily closing futures prices. Tests are conducted on both the original data series and randomized data. The results offer support for the mixture of normals hypothesis.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 105-116 |
| Number of pages | 12 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 24 |
| Issue number | 1 |
| DOIs | |
| State | Published - Mar 1989 |
| Externally published | Yes |
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics