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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2008
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| 在線閱讀: | 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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