The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Empirical properties of asset returns: stylized facts and statistical issues
Abstract
We present a set of stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets. We first discuss some general issues common to all statistical studies of financial time series. Various statistical properties of asset returns are then described: distributional properties, tail properties and extreme fluctuations, pathwise regularity, linear and nonlinear dependence of returns in time and across stocks. Our description emphasizes properties common to a wide variety of markets and instruments. We then show how these statistical properties invalidate many of the common statistical approaches used to study financial data sets and examine some of the statistical problems encountered in each case.
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Cites
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Embrechts, P., Klüppelberg, C., & Mikosch, T. (1997) · doi:10.1007/978-3-642-33483-2 · Cited by 4,402
Cited by
Sun, Q., Zhou, W.-X., & Fan, J. (2020) · Journal of the American Statistical Association · doi:10.1080/01621459.2018.1543124 · Cited by 312
Inference with few heterogeneous clusters
Ibragimov, R., & Müller, U. K. (2016) · Review of Economics and Statistics · doi:10.1162/rest_a_00545 · Cited by 99
Gunay, S., & Kaskaloglu, K. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101773 · Cited by 36
Metadata
- Authors
- Cont, R.
- Venue
- Quantitative Finance
- Publisher
- Informa UK Limited
- Published
- 2001-02
- Volume
- 1
- Issue
- 2
- Pages
- 223-236
- ISSN
- 1469-7688 (ISSN-L)
- 1469-7696
- OpenAlex
- W2100011707
- Cited by
- 3,486
- References
- 2
- FWCI
- 55.48
- Type
- journal article
- Language
- en
- Open access
- closed
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- Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance. https://doi.org/10.1080/713665670
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