Earticle

초록

영어

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.

목차

Abstract
 I. Introduction
 II. The Aggregation Property Given Comoment Processes
 III. Practical issues on the estimation
 IV. Empirical study
  IV.1. Cumulants of the S&P 500 returns
  IV.2. (Joint) cumulants of returns and subsequent returns
 V. Concluding Remark
 Appendix A: Proofs of Proposition 1 and 2.
 Appendix B: Proofs of Proposition 3 and 5 and Corollary 4.
 References

키워드

저자

• Kwangil Bae [ College of Business Administration, Chonnam National University ]
• Soonhee Lee [ College of Business, Korea Advanced Institute of Science and Technology (KAIST) ] Corresponding author

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330