The Impacts of Kurtosis on Risk Stationarity: Some Empirical Evidence

An analysis is performed of the impact of kurtosis on the stationarity of the standard deviation and beta risk. To test the intertemporal stationarity of variance estimates, monthly returns for 464 securities on the CRSP monthly return file, having no missing observations during the period January 1...

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Bibliographic Details
Main Authors: WU, Chunchi, Lee, C.F.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1985
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/825
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Institution: Singapore Management University
Language: English