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An investigation of higher order moments of empirical financial data and their implications to risk
Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look at the effect of the economic environment on the behaviour of higher order moments in these...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8841368/ https://www.ncbi.nlm.nih.gov/pubmed/35198749 http://dx.doi.org/10.1016/j.heliyon.2022.e08833 |