fatter tails

Discussion on Quantitative Methods in Finance
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pwyborn
Posts: 25
Joined: Sat Oct 29, 2011 12:42 pm

fatter tails

Postby pwyborn » Mon Nov 14, 2011 2:10 pm

Hi Carol,

When we say a standard t distritution has fatter tails compared to the normal distribution. Do we typically mean that this normal distribution being compared to has the same mean zero and the same variance as this standard t distribution?

Cheers, Pete
l

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: fatter tails

Postby coalexander » Mon Nov 14, 2011 2:41 pm

Yes, the comparison is with a normal with same variance (and both have mean zero), Carol

can
Posts: 1
Joined: Fri Mar 30, 2012 6:53 pm
Location: turkey

Re: fatter tails

Postby can » Sun May 06, 2012 10:51 am

hi carol

why do we use f and chi- square distribution for analaysis of variances and why we use student t distibution and z test for analying mean

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: fatter tails

Postby coalexander » Sun May 06, 2012 5:41 pm

Section I.3.3.8 gives the exact answer to precisely this question. Hope you can follow it, Carol


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