Test for Infinite Variance in Stock Returns

• المؤلف الرئيسي: YAN, Xian Ning
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: asymmetric stable Paretian distribution; financial modeling; financial time series; stock price analysis; volatility; Finance; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/39; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1038&context=etd_coll

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...