Do Stock Returns Follow a Finite Variance Distribution?

In this paper we propose a test statistic to discriminate between models with finite variance and models with infinite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and finite sample properties of the test statistic are...

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Bibliographic Details
Main Authors: Shao, Q. M., YU, H., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2001
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/526
https://ink.library.smu.edu.sg/context/soe_research/article/1525/viewcontent/Yu_AEF_2001.pdf
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Institution: Singapore Management University
Language: English