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The only thing weird is skewness not being lower for the weekly vs daily. In any case, take a look at table 1.1 from Campbell, Lo and Mackinlay, and check that your values are not far off the ballpark. Actually, with annual data, you should have nearly zero skewness and zero excess kurtosis (on the market). However, asset allocation might lead to severe ...


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The skewness and kurtosis values you obtain appear to be of realistic magnitude. In general higher frequencies are more non-normal, i.e. have higher skewness and kurtosis. If non-normal returns are aggregated the central limit theorem starts working and the return distribution coverges to a normal. Convergence can be quite slow under fat tails. You can try ...



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