| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 982906 | Procedia Economics and Finance | 2015 | 8 Pages |
Abstract
Aggregational Gaussianity (AG) has long been considered a stylized fact of empirical asset return distributions. This research links existing work on the stable-Paretian Hypothesis with the Aggregational Gaussianity hypothesis and notes that the two are incompatible. We use simulation to show that under certain conditions, AG can be falsely inferred to hold in a data set exhibiting the stable-Paretian distribution.
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