The Impacts of Kurtosis on Risk Stationarity: Some Empirical Evidence

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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書目詳細資料
Main Authors:	WU, Chunchi, Lee, C.F.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1985
主題:	Business
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/825
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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