Moment condition failure in stock returns: UK evidence
AbstractWe examine the issue of moments existence in the UK stock market. It is found that the second moment of stock returns is finite, and therefore, the infinite variance stable distribution is ruled out as a candidate for modelling stock returns. In contrast with the US evidence, we cannot rule out the possibility that the fourth moment is finite.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 4 (1997)
Issue (Month): 4 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141
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