On the surprising explanatory power of higher realized moments in practice

DOI10.4310/SII.2018.V11.N1.A13OpenAlexW3123471823MaRDI QIDQ1782100

Keren Shen, Wai Keung Li, Jian-feng Yao

Publication date: 18 September 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.07969

zbMATH Keywords

linear regressionrealized variancetrading volumehigh-frequencyrealized kurtosis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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