Understanding temporal aggregation effects on kurtosis in financial indices
Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that STUR spe...
Saved in:
Main Authors: | LIEBERMAN, Offer, PHILLIPS, Peter C. B. |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2022
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/soe_research/2628 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
Similar Items
-
Hybrid stochastic local unit roots
by: LIEBERMAN, Offer, et al.
Published: (2020) -
A multivariate stochastic unit root model with an application to derivative pricing
by: LIEBERMAN, Offer, et al.
Published: (2017) -
Norming rates and limit theory for some time-varying coefficient autoregressions
by: LIEBERMAN, Offer, et al.
Published: (2014) -
Co-skewness and co-kurtosis in global real estate securities
by: Liow, K.H., et al.
Published: (2013) -
Low complexity method for blind source extraction for stationary mixed kurtosis sign signals
by: Krisana Chinnasarn
Published: (2009)