Realised higher moments : theory and practice

Buckle, M.; Chen, J.; Williams, J.

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.

Citation

Buckle, M., Chen, J., & Williams, J. (2016). Realised higher moments : theory and practice. European Journal of Finance, 22(13), 1272-1291. https://doi.org/10.1080/1351847x.2014.885456

• Journal Article Type: Article
• Acceptance Date: Jan 15, 2014
• Online Publication Date: Nov 19, 2014
• Publication Date: Oct 20, 2016
• Deposit Date: Jul 2, 2014
• Publicly Available Date: Jun 19, 2016
• Journal: European Journal of Finance
• Print ISSN: 1351-847X
• Electronic ISSN: 1466-4364
• Publisher: Taylor and Francis Group
• Peer Reviewed: Peer Reviewed
• Volume: 22
• Issue: 13
• Pages: 1272-1291
• DOI: https://doi.org/10.1080/1351847x.2014.885456
• Keywords: Higher moments, Asset allocation, Portfolio management, Co-movement.
• Public URL: https://durham-repository.worktribe.com/output/1448542