Understanding temporal aggregation effects on kurtosis in financial indices
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DOI: 10.1016/j.jeconom.2020.07.035
Abstract: Abstract Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the… read more here.
Keywords: kurtosis; financial indices; temporal aggregation; continuous time ... See more keywords
An automated financial indices-processing scheme for classifying market liquidity regimes
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DOI: 10.1080/00207179.2019.1616225
Abstract: A multivariate hidden Markov model (HMM)-based approach is developed to capture simultaneously the regime-switching dynamics of four financial market indicators: Treasury-Euro Dollar rate spread, US dollar index, volatility index and S&P 500 bid-ask spread. These… read more here.
Keywords: liquidity; liquidity regimes; market; financial indices ... See more keywords