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".
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