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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Main Authors: WU, Chunchi, Lee, C.F.
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 1985
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在線閱讀:https://ink.library.smu.edu.sg/lkcsb_research/825
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機構: Singapore Management University
語言: English

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