Moment condition failure in high frequency financial data: evidence from the S&P 500-Reference-Cited by-同舟云学术

Moment condition failure in high frequency financial data: evidence from the S&P 500

Published:1995-08 Issue:8 Volume:2 Page:288-290
ISSN:1350-4851
Container-title:Applied Economics Letters
language:en
Short-container-title:Applied Economics Letters

Author:

Abhyankar A.,Copeland L. S.,Wong W.

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

http://www.tandfonline.com/doi/pdf/10.1080/135048595357258

Reference7 articles.

1. Abhyankar, A., Copeland, L. S. and Wong, W. Nonlinear dynamics in real-time equity market indices: evidence from the UK. Society of Economic Dynamics and Control Annual Conference. UCLA.

2. On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective

3. Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

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