Realized higher-order comoments

DOI10.1080/14697688.2020.1759816zbMath1467.62171OpenAlexW3045618615MaRDI QIDQ4991084

Kwangil Bae, Soonhee Lee

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1759816

zbMATH Keywords

joint cumulantsrealized kurtosisaggregation propertycomomentsrealized coskewness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Realized cumulants for martingales

Cites Work

• Optimal portfolio allocation with higher moments
• Moment swaps
• Pricing and hedging contingent claims using variance and higher order moment swaps
• SKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCE
• Modeling and Forecasting Realized Volatility

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