Do Stock Returns Follow a Finite Variance Distribution?

• المؤلفون الرئيسيون: Shao, Q. M., YU, H., YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2001
• الموضوعات: Economics
• الوصول للمادة أونلاين: 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

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...