| Authors |
Antypas, A., Koundouri, P. and Kourogenis, N. |
| Title |
AGGREGATIONAL GAUSSIANITY AND BARELY INFINITE VARIANCE IN CROP PRICES |
| Abstract |
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 unit root, in which case the unconditional variance is infinite. We show
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 characterises the case of Integrated GARCH (IGARCH) processes. Finally,
we discuss testing for aggregational Gaussianity under barely infinite varian |
| Lenght (pages) |
15 |
| Creation Date |
2010-01-23 |
| Keywords |
aggregational Gausianity, infinite variance, IGARCH, crop prices |
| Classification JEL |
C10,G12,Q14 |
| File |
CropsIGARCH2010_01_23.pdf (443249 bytes) |
| File-Function |
First version |
|
Copyright © 2009 [D.I.E.S.S. A.U.E.B.]. All rights reserved.
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