Frequency-Dependent Higher Moment Risks

56 Pages Posted: 12 Apr 2021

See all articles by Jozef Baruník

Jozef Baruník

Charles University in Prague - Department of Economics; Institute of Information Theory and Automation, Prague

Josef Kurka

Charles University in Prague - Institute of Economic Studies; Institute of Information Theory and Automation, Prague

Date Written: April 9, 2021

Abstract

Based on intraday data for a large cross-section of individual stocks and exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the cross-section of asset returns. Specifically, we find that market and average idiosyncratic volatility and kurtosis are significantly priced by investors mainly in the long-run even if controlled by market moments and other factors, while skewness is mostly short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term structure of skewness risk and upward-sloping term structure of kurtosis risk, moreover the term structures connected to market skewness risk and average idiosyncratic skewness risk exhibit different dymanics.

Keywords: Higher Moments, frequency, Spectral Analysis, Cross-sectional

JEL Classification: C14, C22, G11, G12

Suggested Citation

Barunik, Jozef and Kurka, Josef, Frequency-Dependent Higher Moment Risks (April 9, 2021). Available at SSRN: https://ssrn.com/abstract=3823002 or http://dx.doi.org/10.2139/ssrn.3823002

Jozef Barunik (Contact Author)

Charles University in Prague - Department of Economics ( email )

Opletalova 26
Prague 1, 110 00
Czech Republic

HOME PAGE: http://ies.fsv.cuni.cz/en/staff/barunik

Institute of Information Theory and Automation, Prague ( email )

Pod vodarenskou vezi 4
CZ-18208 Praha 8
Czech Republic

HOME PAGE: http://staff.utia.cas.cz/barunik/home.htm

Josef Kurka

Charles University in Prague - Institute of Economic Studies ( email )

Opletalova 26
Praha 1, 11000
Czech Republic

HOME PAGE: http://https://ies.fsv.cuni.cz/cs/staff/kurka

Institute of Information Theory and Automation, Prague ( email )

Pod vodarenskou vezi 4
Praha, CZ-18208
Czech Republic

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