Temporal Aggregation of the Returns of a Stock Index Series
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.
|Date of creation:||30 Sep 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden|
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