We present a simple but effective procedure for determining whether a reasonably large sample comes from a stable population against the alternative that it comes from a population with finite higher moments. The procedure uses the fact that a stable population sample has moments of the fourth...

This paper analyzes how the skewness and kurtosis of securities' returns are affected by the length of the differencing interval over which returns are measured. Hawawini's previous analysis of this "intervaling effect" on log returns is shown to be incorrect, and the correct effects are...