Realised higher moments : theory and practice

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

doi:10.1080/1351847x.2014.885456

Realised higher moments : theory and practice

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

Authors

M. Buckle

J. Chen

Professor Julian Williams julian.williams@durham.ac.uk
Head of Department

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

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Copyright 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.