Realised higher moments: theory and practice

Buckle, Mike, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 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:	28 Oct 2022 10:20
URI:	https://orca.cardiff.ac.uk/id/eprint/77916

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