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Log Density Plot

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Log Density Plot

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This program accepts a vector of stock market prices and calculates the Log density plot.

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Description

This program accepts a vector of stock market prices and calculates the
Log density plot. The produced graph also plots a normal curve with mean
and standard deviation from the provided data. The Log-pdf clearly
displays the fat-tail property of stock market returns. An application of
the log-pdf can be found in Andersen, Bollerslev and Dobrev (2006) "No
Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility
Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and
Testable Distributional Implications".

Required Products Econometrics Toolbox
MATLAB release MATLAB 7.11 (R2010b)
Other requirements Econometrics toolbox only needed if returns are calculated with the provided code as it uses the function price2ret. If you don't have econometrics toolbox you need to calculate returns manually, that is log(pt/pt-1)
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