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Article: On the surprising explanatory power of higher realized moments in practice

TitleOn the surprising explanatory power of higher realized moments in practice
Authors
Keywordshigh-frequency
realized variance
realized kurtosis
linear regression
trading volume
Issue Date2018
PublisherInternational Press. The Journal's web site is located at http://www.intlpress.com/SII
Citation
Statistics and its Interface, 2018, v. 11, p. 153-168 How to Cite?
AbstractRealized moments of higher order computed from intraday returns have been introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market, as well as the monthly or weekly scale. In this paper, we conduct an extensive empirical analysis to investigate the forecasting abilities of realized skewness and realized kurtosis towards an individual stock’s future return and variance in the daily scale. It is found that realized kurtosis possesses significant forecasting power for the stock’s future variance and in contrast with the existing literature, realized skewness is lack of explanatory power of future daily returns for individual stocks in the short term.
Persistent Identifierhttp://hdl.handle.net/10722/259513
ISSN
2015 Impact Factor: 1.546
2015 SCImago Journal Rankings: 0.481

 

DC FieldValueLanguage
dc.contributor.authorShen, K-
dc.contributor.authorYao, JJ-
dc.contributor.authorLi, WK-
dc.date.accessioned2018-09-03T04:09:04Z-
dc.date.available2018-09-03T04:09:04Z-
dc.date.issued2018-
dc.identifier.citationStatistics and its Interface, 2018, v. 11, p. 153-168-
dc.identifier.issn1938-7989-
dc.identifier.urihttp://hdl.handle.net/10722/259513-
dc.description.abstractRealized moments of higher order computed from intraday returns have been introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market, as well as the monthly or weekly scale. In this paper, we conduct an extensive empirical analysis to investigate the forecasting abilities of realized skewness and realized kurtosis towards an individual stock’s future return and variance in the daily scale. It is found that realized kurtosis possesses significant forecasting power for the stock’s future variance and in contrast with the existing literature, realized skewness is lack of explanatory power of future daily returns for individual stocks in the short term.-
dc.languageeng-
dc.publisherInternational Press. The Journal's web site is located at http://www.intlpress.com/SII-
dc.relation.ispartofStatistics and its Interface-
dc.rightsStatistics and its Interface. Copyright © International Press.-
dc.subjecthigh-frequency-
dc.subjectrealized variance-
dc.subjectrealized kurtosis-
dc.subjectlinear regression-
dc.subjecttrading volume-
dc.titleOn the surprising explanatory power of higher realized moments in practice-
dc.typeArticle-
dc.identifier.emailYao, JJ: jeffyao@hku.hk-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.authorityYao, JJ=rp01473-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.doi10.4310/SII.2018.v11.n1.a13-
dc.identifier.hkuros289684-
dc.identifier.volume11-
dc.identifier.spage153-
dc.identifier.epage168-
dc.publisher.placeUnited States-

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