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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2001
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| 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 |