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Realised higher moments : theory and practice.

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.

Item Type:Article
Keywords:Higher moments, Asset allocation, Portfolio management, Co-movement.
Full text:(AM) Accepted Manuscript
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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:
Date accepted:15 January 2014
Date deposited:18 July 2014
Date of first online publication:19 November 2014
Date first made open access:19 June 2016

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