Communications for Statistical Applications and Methods

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Fig. 1.

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Fig. 1. Sample excess kurtosis vs sample squared skewness of S&P500 daily log returns from 2001/01/02 to 2010/12/31; each point is obtained using 250 daily log returns. Straight line: 3K – 5S 2 = 0; +: 3K – 5S 2 > 0; dot: 3K – 5S 2 < 0.
Communications for Statistical Applications and Methods 2020;27:97-108 https://doi.org/10.29220/CSAM.2020.27.1.097
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