A Research on the Security Return Distribution Using the Laplace Distribution

摘要：

The security return distribution has a high peak and a fat tail. Therefore the assumption of a normal distribution of the security return is inadequate. This paper, using the Laplace distribution, the mixed normal distribution and the improved Laplace distribution, conducts a research on the security return distribution.

关键词： High Peak and Fat Tail Laplace Distribution Mixed Normal Distribution

作者: Min Yu Shou Chen

作者单位: College of Business Administration,Hunan University,Changsha,Hunan 410082,China

会议类型: 国际会议

会议名称: 2006 International Conference on Management Science and Engineering(2006管理科学与工程国际学术研讨会)

会议地点: 武汉

会议语种:英文

页码: 706-711

在线出版日期: 2006-11-08（万方平台首次上网日期，不代表论文的发表时间）