Umeå Economic Studies, Department of Economics, Umeå University
Temporal Aggregation of the Returns of a Stock Index Series
Abstract: 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.
Keywords: symmetric moving average; QGARCH; estimation; kurtosis; Pearson IV; NYSE; (follow links to similar papers)
JEL-Codes: C13; C22; C51; C53; G12; G14; (follow links to similar papers)
8 pages, September 30, 2003
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