Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics
Attilio Meucci
SYMMYS; Kepos Capital
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
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
