Buckle, M. and Chen, J. and Williams, J. (2016) 'Realised higher moments : theory and practice.', European journal of finance., 22 (13). pp. 1272-1291.
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.
|Keywords:||Higher moments, Asset allocation, Portfolio management, Co-movement.|
|Full text:||(AM) Accepted Manuscript|
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|Publisher Web site:||http://dx.doi.org/10.1080/1351847X.2014.885456|
|Publisher statement:||This is an Accepted Manuscript of an article published by Taylor & Francis Group in European Journal of Finance on 19/11/2014, available online at: http://www.tandfonline.com/10.1080/1351847X.2014.885456.|
|Record Created:||16 Jul 2014 14:35|
|Last Modified:||10 Oct 2016 09:58|
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