Realized higher-order comoments. Issue 3 (4th March 2021)

• Record Type: Journal Article
• Authors: Bae, Kwangil; Lee, Soonhee
• Is Part Of: Quantitative finance. Volume 21:Issue 3(2021)
• Page Start: 421
• Page End: 429
• Publication Date: 2021-03-04
• Subjects: Realized kurtosis -- Realized coskewness -- Aggregation property -- Joint cumulants -- Comoments; G11 -- G12 -- G13; Finance -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Investments -- Mathematics -- Periodicals; Economics -- Periodicals; Finances -- Modèles mathématiques -- Périodiques; 332.015118
• DOI: 10.1080/14697688.2020.1759816
• Languages: English
• ISSNs: 1469-7688

Abstract

Abstract : We propose a new realized third-order comoment and new realized fourth-order joint cumulants, which are standardized comoments. They are obtained from sub-period returns and lower-order comoments and satisfy A. Neuberger's (Realized skewness. Rev. Financ. Stud., 2012, 25 (11), 3423–3455) aggregation property. Different from other realized higher-order comoments obtained from sub-period returns only, those in this study reflect characteristics of the volatility of volatility as well as jump contributions. As a result, our realized kurtosis and coskewness can reflect well-known phenomena such as the positive autocorrelation of volatility or negative correlation between returns and covariances.