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Applied Economics Letters Volume 2, 1995 - Issue 8
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Original Articles

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

A. Abhyankar
,
L. S. Copeland
&
W. Wong
Pages 288-290 | Published online: 05 Oct 2010
 
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Abstract

Loretan-Phillips maximal moment exponent estimators are used to investigate the distribution of S&P 500 stock returns at a range of different frequencies. In all cases, the variance is found to be finite, but the existence of higher-order moments is in some doubt.

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