{"id":"https://openalex.org/W2324923","doi":"https://doi.org/10.1007/3-540-28397-8_30","title":"An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks","display_name":"An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks","publication_year":2005,"publication_date":"2005-11-24","ids":{"openalex":"https://openalex.org/W2324923","doi":"https://doi.org/10.1007/3-540-28397-8_30","mag":"2324923"},"language":"en","primary_location":{"id":"doi:10.1007/3-540-28397-8_30","doi":"https://doi.org/10.1007/3-540-28397-8_30","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-28397-8_30","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Studies in Classification, Data Analysis, and Knowledge Organization","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W2141919870","display_name":"Data Analysis and Decision Support"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016612974","display_name":"Svetlozar T. Rachev","orcid":"https://orcid.org/0000-0002-0869-4399","observed_orcids":["https://orcid.org/0000-0002-0869-4399"]},"institutions":[{"id":"https://openalex.org/I102335020","display_name":"Karlsruhe Institute of Technology","ror":"https://ror.org/04t3en479","country_code":"DE","type":"education","lineage":["https://openalex.org/I102335020","https://openalex.org/I1305996414"]},{"id":"https://openalex.org/I154570441","display_name":"University of California, Santa Barbara","ror":"https://ror.org/02t274463","country_code":"US","type":"education","lineage":["https://openalex.org/I154570441"]},{"id":"https://openalex.org/I2803209242","display_name":"University of California System","ror":"https://ror.org/00pjdza24","country_code":"US","type":"education","lineage":["https://openalex.org/I2803209242"]}],"countries":["DE","US"],"is_corresponding":false,"raw_author_name":"Svetlozar T. Rachev","raw_affiliation_strings":["Department of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe, D-76128, Karlsruhe, Germany","Department of Statistics and Applied Probability, University of California, Santa Barbara, CA, 93106, USA","University of California","University of Karlsruhe"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe, D-76128, Karlsruhe, Germany","institution_ids":["https://openalex.org/I102335020"]},{"raw_affiliation_string":"Department of Statistics and Applied Probability, University of California, Santa Barbara, CA, 93106, USA","institution_ids":["https://openalex.org/I154570441"]},{"raw_affiliation_string":"University of California","institution_ids":["https://openalex.org/I2803209242"]},{"raw_affiliation_string":"University of Karlsruhe","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082228435","display_name":"Stoyan Veselinov Stoyanov","orcid":"https://orcid.org/0000-0003-2775-1800","observed_orcids":["https://orcid.org/0000-0003-2775-1800","https://orcid.org/0000-0002-6127-0333"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Stoyan V. Stoyanov","raw_affiliation_strings":["FinAnalytica, Inc., Seattle, USA","FinAnalytica, Inc"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"FinAnalytica, Inc., Seattle, USA","institution_ids":[]},{"raw_affiliation_string":"FinAnalytica, Inc","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014179898","display_name":"Almira Biglova","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I102335020","display_name":"Karlsruhe Institute of Technology","ror":"https://ror.org/04t3en479","country_code":"DE","type":"education","lineage":["https://openalex.org/I102335020","https://openalex.org/I1305996414"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Almira Biglova","raw_affiliation_strings":["Department of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe, D-76128, Karlsruhe, Germany","University of Karlsruhe#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe, D-76128, Karlsruhe, Germany","institution_ids":["https://openalex.org/I102335020"]},{"raw_affiliation_string":"University of Karlsruhe#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465","observed_orcids":["https://orcid.org/0000-0002-2827-1465"]},"institutions":[{"id":"https://openalex.org/I32971472","display_name":"Yale University","ror":"https://ror.org/03v76x132","country_code":"US","type":"education","lineage":["https://openalex.org/I32971472"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["Frederick Frank Adjunct Professor of Finance,\n        School of Management, Yale University, P.O. Box 208200, New Haven, CT, 06520-8200, USA","Yale University  ;"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Frederick Frank Adjunct Professor of Finance,\n        School of Management, Yale University, P.O. Box 208200, New Haven, CT, 06520-8200, USA","institution_ids":["https://openalex.org/I32971472"]},{"raw_affiliation_string":"Yale University  ;","institution_ids":["https://openalex.org/I32971472"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.2087,"has_fulltext":false,"cited_by_count":34,"citation_normalized_percentile":{"value":0.94371345,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"269","last_page":"281"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5630000233650208,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5630000233650208,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.31369999051094055,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.04399999976158142,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/daily-stock-returns","display_name":"daily stock returns","score":0.8859999775886536},{"id":"https://openalex.org/keywords/return-distribution","display_name":"return distribution","score":0.9509999752044678},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.7710000276565552},{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.6240000128746033},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.453000009059906},{"id":"https://openalex.org/keywords/conditional-heteroscedasticity","display_name":"conditional heteroskedasticity","score":0.8640000224113464}],"concepts":[{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.8650543689727783},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7844119071960449},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7497223019599915},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5656851530075073},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.5312924981117249},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5076392889022827},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4294571876525879},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.18271145224571228},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.08312749862670898},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/3-540-28397-8_30","doi":"https://doi.org/10.1007/3-540-28397-8_30","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-28397-8_30","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Studies in Classification, Data Analysis, and Knowledge Organization","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W45326702","https://openalex.org/W645045208","https://openalex.org/W1486650488","https://openalex.org/W1979575715","https://openalex.org/W1984228768","https://openalex.org/W1999051897","https://openalex.org/W1999996900","https://openalex.org/W2022894179","https://openalex.org/W2024163429","https://openalex.org/W2076209196","https://openalex.org/W2090637028","https://openalex.org/W2095078508","https://openalex.org/W3125246470","https://openalex.org/W3150323070","https://openalex.org/W4246756383"],"related_works":["https://openalex.org/W2171257673","https://openalex.org/W7097971512","https://openalex.org/W2032696453","https://openalex.org/W1982487535","https://openalex.org/W2013670408","https://openalex.org/W2182252176","https://openalex.org/W1970192323","https://openalex.org/W2346678445","https://openalex.org/W147813344","https://openalex.org/W3122456641"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2016-06-24T00:00:00"}
