Temporal Aggregation of the Returns of a Stock Index Series

Kurt Brännäs ()

No 614, Umeå Economic Studies from Umeå University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C13 C22 C51 C53 G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-fin, nep-fmk and nep-rmg
Date: 2003-09-30
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0614

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