MOMENT CONDITION FAILURE IN IN HIGH-FREQUENCY FINANCIAL DATA - EVIDENCE FROM THE S-AND-P 500

被引：5

作者：

ABHYANKAR, A

COPELAND, LS

WONG, W

机构：

[1] Department of Accounting and Finance, University of Stirling

来源：

APPLIED ECONOMICS LETTERS | 1995年 / 2卷 / 08期

关键词：

D O I：

10.1080/135048595357258

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：288 / 290

页数：3

共 7 条

[1]

ABHYANKAR A, 1984, SOC EC DYNAMICS CONT

[2]

HALL P, 1982, J ROY STAT SOC B MET, V44, P37

[3] ON THE FREQUENCY OF LARGE STOCK RETURNS - PUTTING BOOMS AND BUSTS INTO PERSPECTIVE [J].