Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010
If the distribution of a financial variable is highly non-normal, as is the case for the monthly return of some hedge funds or options, how do we compute the projected annualized skewness and kurtosis? We address this question in greater generality, projecting all the summary statistics of the financial variables, in addition to skewness and kurtosis, to arbitrary horizons, in addition to one year. Fully documented MATLAB code is also provided.
Number of Pages in PDF File: 8
Keywords: Square-Root Rule, Higher Moments, Cumulants
JEL Classification: C1, G11Accepted Paper Series
Date posted: July 14, 2010 ; Last revised: October 11, 2010
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.391 seconds