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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.
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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.
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 distributionalregularities of financial returns. Research traces back to the turn of the 19thcentury. Since then, it underwent a lot of drastic changes, which are to be shownin this paper.The aim of this paper is to show theoretical models that account for the distributionalregularities in financial returns as well as to illustrate the empiricalanalysis. It is necessary to understand the evolution of research on this topicbecause it came about in a consecutive manner. Thus, this paper will documentover one hundred years of research on distributional properties of financial returns.The second chapter will start with the results of Louis Bachelier and his normaldistribution hypothesis. Then it will describe Benoît Mandelbrot's groundbreakingresults, which rejected Bachelier's normal hypothesis and introduced theLévy-stable distributions. Mandelbrot's work had such an impact that it will bedescribed in greater detail.The third chapter will present the results of research that followed after Mandelbrot'sfindings. It will also display and explain the results of recent research. Artikel-Nr. 9783640833016
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Taschenbuch. Zustand: Neu. Distributional Regularities of Financial Returns | Jakob Blatz | Taschenbuch | 32 S. | Englisch | 2011 | GRIN Verlag | EAN 9783640833016 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Artikel-Nr. 107094362
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Distributional Regularities of Financial Returns
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GRIN Verlag, GRIN Verlag Feb 2011, 2011
ISBN 10: 3640833015
ISBN 13: 9783640833016
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Taschenbuch. Zustand: Neu. Neuware -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 distributionalregularities 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.Books on Demand GmbH, Überseering 33, 22297 Hamburg 32 pp. Englisch. Artikel-Nr. 9783640833016
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