The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses
- 1 March 1989
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 24 (1) , 105
- https://doi.org/10.2307/2330751
Abstract
Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain the observed thick-tailed distributions of futures price movements. The two hypotheses are tested by applying the stability-under-addition test of stable distribution parameters to twenty lengthy time series of changes in daily closing futures prices. Tests are conducted on both the original data series and randomized data. The results offer support for the mixture of normals hypothesis.Keywords
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