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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
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 phenomenon. Limit theory for the sample kurtosis reveals that...
Persistent link: https://www.econbiz.de/10011948760
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Minimum distance testing and top income shares in Korea /
Cho, Jin Seo; Park, Myung-Ho; Phillips, Peter C. B. - 2015
Persistent link: https://www.econbiz.de/10011312313
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Structural change in tail behavior and the Asian financial crisis
Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000
Persistent link: https://www.econbiz.de/10001548868
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Fully nonparametric estimation of scalar diffusion models
Bandi, Federico M.; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 241-283
Persistent link: https://www.econbiz.de/10001731112
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Structural change tests in tail behaviour and the Asian crisis
Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - In: The review of economic studies 68 (2001) 3, pp. 633-663
Persistent link: https://www.econbiz.de/10001608811
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Infinite density at the median and the typical shape of stock return distributions
Han, Chirok; Cho, Jin Seo; Phillips, Peter C. B. - 2009
Persistent link: https://www.econbiz.de/10003842069
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LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
Cho, Jin Seo; Han, Chirok; Phillips, Peter C. B. - 2009
Persistent link: https://www.econbiz.de/10003842080
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Bimodal t-ratios : the impact of thick tails on inference
Fiorio, Carlo V.; Hajivassiliou, Vassilis Argyrou; … - In: The econometrics journal 13 (2010) 2, pp. 271-289
Persistent link: https://www.econbiz.de/10003978526
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Infinite density at the median and the typical shape of stock return distributions
Han, Chirok; Cho, Jin Seo; Phillips, Peter C. B. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 2, pp. 282-294
Persistent link: https://www.econbiz.de/10009159989
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Asymptotic theory for local time density estimation and nonparametric cointegrating regression
Wang, Qiying; Phillips, Peter C. B. - In: Econometric theory 25 (2009) 3, pp. 710-738
Persistent link: https://www.econbiz.de/10003864160