Moment condition failure in high frequency financial data: evidence from the S&P 500

Loretan-Phillips maximal moment exponent estimators are used to investigate the distribution of S&P 500 stock returns at a range of different frequencies. In all cases, the variance is found to be finite, but the existence of higher-order moments is in some doubt.

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Year of publication:	1995
Authors:	Abhyankar, A. ; Copeland, L. S. ; Wong, W.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 8, p. 288-290
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009277444