Distributional Regularities of Financial Returns Book PDF, ePub eBook

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Book Descriptions:
Seminar paper from the year 2008 in the subject Economics - Finance, grade: 1,7, Christian-Albrechts-University of Kiel, language: English, abstract: There is a long tradition of scholars seeking to understand the distributional
regularities of financial returns. Research traces back to the turn of the 19th
century. Since then, it underwent a lot of drastic changes, which are to be shown
in this paper.
The aim of this paper is to show theoretical models that account for the distributional
regularities in financial returns as well as to illustrate the empirical
analysis. It is necessary to understand the evolution of research on this topic
because it came about in a consecutive manner. Thus, this paper will document
over one hundred years of research on distributional properties of financial returns.
The second chapter will start with the results of Louis Bachelier and his normal
distribution hypothesis. Then it will describe Benoît Mandelbrot's groundbreaking
results, which rejected Bachelier's normal hypothesis and introduced the
Lévy-stable distributions. Mandelbrot's work had such an impact that it will be
described in greater detail.
The third chapter will present the results of research that followed after Mandelbrot's
findings. It will also display and explain the results of recent research.

Distributional Regularities of Financial Returns by Jakob Blatz

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