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...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2022
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2628 |
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| 機構: | Singapore Management University |
| 語言: | English |