淡江大學機構典藏:Item 987654321/72534
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72534


    Title: Moment condition failure in high frequency financial data: evidence from the S&P 500
    Authors: Abyankar, A.;Copeland, L. S.;黃文光;Wong, W
    Contributors: 淡江大學財務金融學系
    Date: 1995-08
    Issue Date: 2011-10-24 10:32:25 (UTC+8)
    Publisher: Routledge
    Abstract: 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.
    Relation: Applied Economics Letters 2(8), pp.288-290
    DOI: 10.1080/135048595357258
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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