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Empirical distributions of stock returns: between the stretched exponential and the power law?
Authors:Y Malevergne  V Pisarenko  D Sornette
Institution:1. ISFA Graduate School of Actuarial Science , University of Lyon 1 , 50 avenue Tony Garnier, 69366 Lyon Cedex 07, France;2. EM-Lyon Graduate School of Management , 23 avenue Guy de Collongue, 69134 Ecully Cedex, France;3. International Institute of Earthquake Prediction Theory and Mathematical Geophysics , Russian Academy of Sciences , Warshavskoye sh. 79, kor. 2, 79, kor. 2, Moscow 113556, Russia;4. Laboratoire de Physique de la Matière Condensée , CNRS UMR 6622 and Université des Sciences , Parc Valrose, 06108 Nice Cedex 2, France;5. Institute of Geophysics and Planetary Physics and Department of Earth and Space Science , University of California , Los Angeles, CA 90095, USA
Abstract:
Keywords:Non-nested hypothesis testing  Pareto distribution  Weibull distribution
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