A Comparison of Tail Behaviour of Stock Market Returns
Most investors believe that left tails of the stock returns distribution are heavier than the right ones. It is a natural consequence of crashes perception as much more turbulent than the booms. Crashes develop in shorter time intervals than booms and changes of prices are significantly bigger. Thi...
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| Format: | Article |
| Language: | English |
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Sciendo
2014-06-01
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| Series: | Folia Oeconomica Stetinensia |
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| Online Access: | http://www.degruyter.com/view/j/foli.2014.14.issue-1/foli-2014-0102/foli-2014-0102.xml?format=INT |