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Temporal Aggregation of the Returns of a Stock Index Series

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  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå University)

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.

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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 614.

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Length: 8 pages
Date of creation: 30 Sep 2003
Date of revision:
Handle: RePEc:hhs:umnees:0614

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Email:
Web page: http://www.econ.umu.se/
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Keywords: symmetric moving average; QGARCH; estimation; kurtosis; Pearson IV; NYSE;

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  1. Kurt Brännäs & Niklas Nordman, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series 448, CESifo Group Munich.
  2. Kurt Brannas & Niklas Nordman, 2003. "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 725-728.
  3. Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute.
  4. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
  5. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Discussion Paper 1992-40, Tilburg University, Center for Economic Research.
  6. Brannas, K. & Ohlsson, H., 1995. "Asymmetric Cycles and Temporal Aggregation," Papers 1995-11, Uppsala - Working Paper Series.
  7. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
  8. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
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