Understanding temporal aggregation effects on kurtosis in financial indices

• Main Authors: LIEBERMAN, Offer, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Autoregression; Diffusion; Kurtosis; Stochastic unit root; Time-varying coefficients; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2628
• Institution: Singapore Management University

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...