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Describing past and forecasting future asset prices has been attracting the attention of several generations of researchers. Rather than analyzing the asset prices P t at times t = 1, …, T itself, one usually focusses on the corresponding log-returns defined by \(R_t^c=\log (P_t)-\log (P_{t-1})\) for t = 2, …, T. Considering prices (and consequently log-returns) as realizations of random variables, it seems natural to identify the underlying data-generating probability distribution.

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Financial Return Distributions

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  • 发表日期：

    2025年

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  • Matthias Fischer

摘要

Describing past and forecasting future asset prices has been attracting the attention of several generations of researchers. Rather than analyzing the asset prices P t at times t = 1, …, T itself, one usually focusses on the corresponding log-returns defined by \(R_t^c=\log (P_t)-\log (P_{t-1})\) for t = 2, …, T. Considering prices (and consequently log-returns) as realizations of random variables, it seems natural to identify the underlying data-generating probability distribution.