Moment condition failure in high frequency financial data: evidence from the S&P 500

A. Abhyankar, Laurence Copeland () and Wing-Keung Wong

Applied Economics Letters, 1995, vol. 2, issue 8, 288-290

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.

Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:2:y:1995:i:8:p:288-290

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/135048595357258

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().