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PDF Availablehttps://doi.org/10.2139/ssrn.449481
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Cite Journal: SSRN Electronic Journal |  Publication Date: Sep 24, 2003 |
The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.
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