Stylized Facts

about former Yugoslav republics economies


Stylized facts of financial assets

Cont (2001) listed the following statistical properties common to most financial assets (assets returns and exchange rates):

  • Absence of autocorrelations
  • Heavy tails
  • Gain/loss asymmetry
  • Aggregational Gaussianity
  • Intermittency
  • Volatility clustering
  • Conditional heavy tails
  • Slow decay of autocorrelation in absolute returns
  • Leverage effect
  • Volume/volatility correlation
  • Asymmetry in time scales


Cont, R. (2001). Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance, 1(1), 223-236. [pdf]


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Director of Wellington based My Statistical Consultant Ltd company. Retired Associate Professor in Statistics. Has a PhD in Statistics and over 35 years experience as a university professor, international researcher and government consultant.