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Temporal Aggregation of the Returns of a Stock Index Series

  • Brännäs, Kurt

    ()

    (Department of Economics, Umeå University)

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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File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=62555&languageId=3&assetKey=ues614
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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
Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
Email:


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  1. Kurt Brannas & Niklas Nordman, 2003. "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 537-541.
  2. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes," Discussion Paper 1990-66, Tilburg University, Center for Economic Research.
  3. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
  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. Brannas, K. & Ohlsson, H., 1995. "Asymmetric Cycles and Temporal Aggregation," Papers 1995-11, Uppsala - Working Paper Series.
  6. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management.
  7. Brännäs, Kurt & Nordman, Niklas, 2001. "Conditional Skewness Modelling for Stock Returns," Umeå Economic Studies 562, Umeå University, Department of Economics.
  8. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
  9. repec:ner:tilbur:urn:nbn:nl:ui:12-153273 is not listed on IDEAS
  10. Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
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