Realised higher moments: theory and practice. Issue 13 (20th October 2016)

• Record Type: Journal Article
• Authors: Buckle, Mike; Chen, Jing; Williams, Julian M.
• Is Part Of: European journal of finance. Volume 22:Issue 13(2016)
• Page Start: 1272
• Page End: 1291
• Publication Date: 2016-10-20
• Subjects: higher moments -- asset allocation -- portfolio management -- co-movement; G14 -- G15 -- G17; Finance -- Periodicals; Finance -- Europe -- Periodicals; International finance -- Periodicals; 332.094
• DOI: 10.1080/1351847X.2014.885456
• Languages: English
• ISSNs: 1351-847X

Abstract

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.