On the existence of moments

dc.contributor.authorRunde, Ralfde
dc.contributor.authorScheffner, Axelde
dc.date.accessioned2004-12-06T18:38:18Z
dc.date.available2004-12-06T18:38:18Z
dc.date.issued1998de
dc.description.abstractStock returns are often modeled as having infinite second or fourth moments, with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple Pareto tail index estimate. In a recent study McCulloch (1997) demonstrated that this estimator indicates distributions with even finite fourth moments, although the samples were drawn from infinite-variance stable laws, which points out the doubtful role of the tail index estimate as evidence for the finiteness of moments. Based on an fQ-System for continuous unimodal distributions, introduced by Scheffner (1998), we derive an alternative condition for the existence of moments. An estimation algorithm for the fQ-parameters is proposed and an application to the 30 most busy German stocks shows that daily returns can be modeled as being at least approximately fQ-distributed with finite second moments.en
dc.format.extent2020878 bytes
dc.format.extent252752 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/postscript
dc.identifier.urihttp://hdl.handle.net/2003/4837
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-16149
dc.language.isoende
dc.publisherUniversitätsbibliothek Dortmundde
dc.subjectdistribution of stock returnen
dc.subjectfQ-Systemde
dc.subjecttail estimationen
dc.subject.ddc310de
dc.titleOn the existence of momentsen
dc.title.alternativeWith an application to German stock returnsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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