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: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1985
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/825 |
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| Institution: | Singapore Management University |
| Language: | English |