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Department of Economics, Umeå University Umeå Economic Studies, Department of Economics, Umeå University

No 614:
Temporal Aggregation of the Returns of a Stock Index Series

Kurt Brännäs ()

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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