Realised Higher Moments: Theory and Practice

Chen, Jing; Buckle, Mike; Williams, Julian

doi:10.2139/ssrn.2120098

Abstract

References (33)

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Realised Higher Moments: Theory and Practice

Mike Buckle

University of Wales, Swansea - School of Business and Economics

University of Aberdeen Business School

July 23, 2012

Abstract:
This paper examines incorporation of higher moments in portfolio selection problems utilizing high frequency data. Our approach combines innovations from the realized 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 to 2011. We demonstrate a novel estimator for moments and co-moments in the presence of microstructure noise.

Number of Pages in PDF File: 33

Keywords: Higher Moments, Asset Allocation, Portfolio Management, Co-movement

JEL Classification: G14, G15, G17

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Date posted: July 31, 2012

Suggested Citation

Chen, Jing, Buckle, Mike J. and Williams, Julian M., Realised Higher Moments: Theory and Practice (July 23, 2012). Available at SSRN: http://ssrn.com/abstract=2120098 or http://dx.doi.org/10.2139/ssrn.2120098

Contact Information

Jing Chen Swansea University ( email ) Swansea United Kingdom
Mike J. Buckle University of Wales, Swansea - School of Business and Economics ( email ) Singleton Park Swansea, Wales SA2 8PP United Kingdom
Julian M. Williams (Contact Author) University of Aberdeen Business School ( email ) Old Aberdeen Aberdeen, AB24 3QY United Kingdom 01224 272204 (Phone)

Abstract

References (33)

Realised Higher Moments: Theory and Practice

Jing Chen

Mike Buckle

Julian M. Williams

Date posted: July 31, 2012

Suggested Citation

Contact Information

Jing Chen

Mike J. Buckle

Julian M. Williams (Contact Author)