کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958793 1478846 2013 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Aggregational Gaussianity and barely infinite variance in financial returns
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Aggregational Gaussianity and barely infinite variance in financial returns
چکیده انگلیسی

This paper aims at reconciling two apparently contradictory empirical regularities of financial returns, namely, the fact that the empirical distribution of returns tends to normality as the frequency of observation decreases (aggregational Gaussianity) combined with the fact that the conditional variance of high frequency returns seems to have a (fractional) unit root, in which case the unconditional variance is infinite. We provide evidence that aggregational Gaussianity and infinite variance can coexist, provided that all the moments of the unconditional distribution whose order is less than two exist. The latter characterizes the case of Integrated and Fractionally Integrated GARCH processes. Finally, we discuss testing for aggregational Gaussianity under barely infinite variance. Our empirical motivation derives from commodity prices and stock indices, while our results are relevant for financial returns in general.


► Infinite variance and aggregational Gaussianity can coexist in financial returns.
► FIGARCH processes have just barely infinite variance.
► Aggregation under FIGARCH leads to approximate normal distributions.
► Financial and FIGARCH returns follow similar patterns of aggregational Gaussianity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 20, January 2013, Pages 102–108
نویسندگان
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