재무연구 제 권 호 (2015년 11월)
Asian Review of Financial Research, Vol., No..
pp.304~365
pp.304~365
Realized Higher-Order Comoments
Kwangil Bae College of Business Administration, Chonnam National University
Soonhee Lee College of Business, Korea Advanced Institute of Science and Technology (KAIST)
This paper provides estimators of the realized third and fourth order (joint) cumulants, which are standardized (co)moments, for arithmetic returns with one assumption under which each price is a martingale. The estimators that are developed based on Aggregation Property of Neuberger (2012) help to access the ex-post moments of returns for a specific period and do not require data for a long period. Moreover, we show that neither realized fourth moments nor third comoments of log returns exist under the similar condition. In addition, we conduct an empirical study based on the realized higher order cumulants and the results are consistent with the literature.
Kwangil Bae
Soonhee Lee
This paper provides estimators of the realized third and fourth order (joint) cumulants, which are standardized (co)moments, for arithmetic returns with one assumption under which each price is a martingale. The estimators that are developed based on Aggregation Property of Neuberger (2012) help to access the ex-post moments of returns for a specific period and do not require data for a long period. Moreover, we show that neither realized fourth moments nor third comoments of log returns exist under the similar condition. In addition, we conduct an empirical study based on the realized higher order cumulants and the results are consistent with the literature.
