Understanding temporal aggregation effects on kurtosis in financial indices

DOI10.1016/j.jeconom.2020.07.035OpenAlexW2913097926MaRDI QIDQ2116321

Peter C. B. Phillips, Offer Lieberman

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.035

zbMATH Keywords

diffusionkurtosisstochastic unit roottime-varying coefficientsautoregression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Robust inference with stochastic local unit root regressors in predictive regressions

Cites Work

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