Test for Infinite Variance in Stock Returns

Test for Infinite Variance in Stock Returns

The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's es...

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Bibliographic Details
Main Author: YAN, Xian Ning
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
asymmetric stable Paretian distribution
financial modeling
financial time series
stock price analysis
volatility
Finance
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/etd_coll/39
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1038&context=etd_coll
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/etd_coll/39
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1038&context=etd_coll

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