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- Publisher Website: 10.4310/SII.2018.v11.n1.a13
- Scopus: eid_2-s2.0-85039975910
- WOS: WOS:000426873400013
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Article: On the surprising explanatory power of higher realized moments in practice
Title | On the surprising explanatory power of higher realized moments in practice |
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Authors | |
Keywords | high-frequency realized variance realized kurtosis linear regression trading volume |
Issue Date | 2018 |
Publisher | International 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? |
Abstract | Realized 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 Identifier | http://hdl.handle.net/10722/259513 |
ISSN | 2023 Impact Factor: 0.3 2023 SCImago Journal Rankings: 0.273 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Shen, K | - |
dc.contributor.author | Yao, JJ | - |
dc.contributor.author | Li, WK | - |
dc.date.accessioned | 2018-09-03T04:09:04Z | - |
dc.date.available | 2018-09-03T04:09:04Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Statistics and its Interface, 2018, v. 11, p. 153-168 | - |
dc.identifier.issn | 1938-7989 | - |
dc.identifier.uri | http://hdl.handle.net/10722/259513 | - |
dc.description.abstract | Realized 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.language | eng | - |
dc.publisher | International Press. The Journal's web site is located at http://www.intlpress.com/SII | - |
dc.relation.ispartof | Statistics and its Interface | - |
dc.rights | Statistics and its Interface. Copyright © International Press. | - |
dc.subject | high-frequency | - |
dc.subject | realized variance | - |
dc.subject | realized kurtosis | - |
dc.subject | linear regression | - |
dc.subject | trading volume | - |
dc.title | On the surprising explanatory power of higher realized moments in practice | - |
dc.type | Article | - |
dc.identifier.email | Yao, JJ: jeffyao@hku.hk | - |
dc.identifier.email | Li, WK: hrntlwk@hkucc.hku.hk | - |
dc.identifier.authority | Yao, JJ=rp01473 | - |
dc.identifier.authority | Li, WK=rp00741 | - |
dc.identifier.doi | 10.4310/SII.2018.v11.n1.a13 | - |
dc.identifier.scopus | eid_2-s2.0-85039975910 | - |
dc.identifier.hkuros | 289684 | - |
dc.identifier.volume | 11 | - |
dc.identifier.spage | 153 | - |
dc.identifier.epage | 168 | - |
dc.identifier.isi | WOS:000426873400013 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 1938-7989 | - |