Realised higher moments : theory and practice
(2014)
Journal Article
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
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 m... Read More about Realised higher moments : theory and practice.