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In the literature the exponential distribution is sometimes referred to as Laplace distribution. One also finds the name double-exponential distribution which emphasizes the fact that there are two in general different branches, one for positive and one for negative returns, which we equated in this paper, for simplicity.
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Our data are taken from 〈www.tickdata.com〉.
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Yahoo Finance 〈finance.yahoo.com〉. To download data, enter in the symbol box: ̂DJI, and then click on the link: Download Spreadsheet.
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