Realized higher-order comoments

被引：4

作者：

Bae, Kwangil ^{[1
]}

Lee, Soonhee ^{[2
]}

机构：

[1] Chonnam Natl Univ, Coll Business Adm, Gwangju, South Korea

[2] Kyungpook Natl Univ, Sch Business Adm, Daegu, South Korea

来源：

QUANTITATIVE FINANCE | 2021年 / 21卷 / 03期

基金：

新加坡国家研究基金会;

关键词：

Realized kurtosis; Realized coskewness; Aggregation property; Joint cumulants; Comoments; CROSS-SECTION; SKEWNESS; PREFERENCE; CONTAGION;

D O I：

10.1080/14697688.2020.1759816

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a new realized third-order comoment and new realized fourth-order joint cumulants, which are standardized comoments. They are obtained from sub-period returns and lower-order comoments and satisfy A. Neuberger's (Realized skewness.Rev. Financ. Stud., 2012,25(11), 3423-3455) aggregation property. Different from other realized higher-order comoments obtained from sub-period returns only, those in this study reflect characteristics of the volatility of volatility as well as jump contributions. As a result, our realized kurtosis and coskewness can reflect well-known phenomena such as the positive autocorrelation of volatility or negative correlation between returns and covariances.

引用

页码：421 / 429

页数：9

共 23 条

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