Temporal Aggregation of the Returns of a Stock Index Series

The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.

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Year of publication:	2003-09-30
Authors:	Brännäs, Kurt
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	symmetric moving average \| QGARCH \| estimation \| kurtosis \| Pearson IV \| NYSE

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Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 614 8 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005652013