In this paper, by considering a model-based approach for conditional moment estimation, nonparametric test was performed to study the long-memory property of higher moments. We considered daily returns stocks included in S&P500 index last ten years (for period running from 1st January 2011 2021). found that mean and skewness were characterized short memory, while variance shape had long mem...

The interconnectedness of stock markets is an important topic in empirical research, as spillovers on financial matter for asset pricing, portfolio allocation, stability, and risk management. This research focuses all four moments return distributions their between CESEE (Central, Eastern, South-Eastern Europe) markets. Higher analysis needs to be explored more deeply, but can provide detailed ...