Understanding temporal aggregation effects on kurtosis in financial indices
From MaRDI portal
Publication:2116321
DOI10.1016/J.JECONOM.2020.07.035OpenAlexW2913097926MaRDI QIDQ2116321FDOQ2116321
Authors: 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
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Title not available (Why is that?)
- Asymptotic inference for nearly nonstationary AR(1) processes
- Towards a unified asymptotic theory for autoregression
- An introduction to stochastic unit-root processes
- A multivariate stochastic unit root model with an application to derivative pricing
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- Norming rates and limit theory for some time-varying coefficient autoregressions
- A Microeconomic Approach to Diffusion Models For Stock Prices
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration
- Boundary limit theory for functional local to unity regression
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Random coefficient continuous systems: testing for extreme sample path behavior
- Point optimal testing with roots that are functionally local to unity
- Hybrid stochastic local unit roots
Cited In (1)
This page was built for publication: Understanding temporal aggregation effects on kurtosis in financial indices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116321)
