Abstract

http://ssrn.com/abstract=1635484
 
 

Citations (4)



 
 

Footnotes (2)



 


 



Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics


Attilio Meucci


SYMMYS


GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010

Abstract:     
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, G11

Accepted Paper Series


Download This Paper

Date posted: July 14, 2010 ; Last revised: October 11, 2010

Suggested Citation

Meucci, Attilio, 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. Available at SSRN: http://ssrn.com/abstract=1635484

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Feedback to SSRN


Paper statistics
Abstract Views: 5,955
Downloads: 2,667
Download Rank: 2,073
Citations:  4
Footnotes:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.219 seconds