Understanding temporal aggregation effects on kurtosis in financial indices

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

zbMATH Keywords

kurtosisautoregressiondiffusionstochastic unit roottime-varying coefficients

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A Microeconomic Approach to Diffusion Models For Stock Prices
• A multivariate stochastic unit root model with an application to derivative pricing
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• An introduction to stochastic unit-root processes
• Asymptotic inference for nearly nonstationary AR(1) processes
• Boundary limit theory for functional local to unity regression
• Hybrid stochastic local unit roots
• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Norming rates and limit theory for some time-varying coefficient autoregressions
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• Point optimal testing with roots that are functionally local to unity
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Random coefficient continuous systems: testing for extreme sample path behavior
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration
• Towards a unified asymptotic theory for autoregression

Cited in

(1)

• Robust inference with stochastic local unit root regressors in predictive regressions

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)