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Realised higher moments: theory and practice

Buckle, Mike, Chen, Jing and Williams, Julian M. 2014. Realised higher moments: theory and practice. The European Journal of Finance 22 (13) , pp. 1272-1291. 10.1080/1351847X.2014.885456

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Abstract

This paper examines the incorporation of higher moments in portfolio selection problems utilising high-frequency data. Our approach combines innovations from the realised volatility literature with a portfolio selection methodology utilising higher moments. We provide an empirical study of the measurement of higher moments from tick by tick data and implement the model for a selection of stocks from the DOW 30 over the time period 2005–2011. We demonstrate a novel estimator for moments and co-moments in the presence of microstructure noise.

Item Type: Article
Date Type: Published Online
Status: Published
Schools: Mathematics
Uncontrolled Keywords: higher moments, asset allocation, portfolio management, co-movement
Additional Information: Issue 13: Special Issue of papers presented at the Fifth International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance
Publisher: Taylor and Francis
ISSN: 1351-847X
Date of Acceptance: 15 January 2014
Last Modified: 09 Sep 2019 14:38
URI: http://orca.cf.ac.uk/id/eprint/77916

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