Higher moments matter! Cross‐sectional (higher) moments and the predictability of stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Review of Financial Economics"
DOI: 10.1002/rfe.1121
Abstract: In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2015), who finds cross-sectional volatility to forecast a decline in the… read more here.
Keywords: skewness; cross sectional; higher moments; sectional volatility ... See more keywords
Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process
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DOI: 10.1007/s10614-017-9753-x
Abstract: This paper designs and prices the swaps on discrete realized higher moments under the Lévy process in order to hedge the higher-moment risks, e.g., skewness and kurtosis risks. A comparison with Monte-Carlo simulations provides a… read more here.
Keywords: discrete realized; swaps discrete; realized higher; pricing swaps ... See more keywords
Higher co-moments and adjusted Sharpe ratios for cryptocurrencies
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101543
Abstract: Abstract We report the results of regressing the Sharpe ratios of 72 cryptocurrencies on first, second and third co-moments of their returns. Our general aim is to examine the risk-return trade-off characteristics of cryptocurrencies. In… read more here.
Keywords: sharpe ratios; higher moments; ratios cryptocurrencies; finance ... See more keywords
A new GARCH model with higher moments for stock return predictability
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2018.02.016
Abstract: The main purpose of the paper is to propose a new GARCH-SK predictive regression model that accommodates higher order moments (skewness and kurtosis) in testing the null hypothesis of no predictability. Using an extensive and… read more here.
Keywords: predictability; garch model; new garch; higher moments ... See more keywords
Sovereign bond return prediction with realized higher moments
Sign Up to like & getrecommendations! Published in 2019 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2019.05.002
Abstract: Abstract This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and… read more here.
Keywords: realized higher; bond; higher moments; sovereign bond ... See more keywords
The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
Sign Up to like & getrecommendations! Published in 2019 at "Quantitative Finance"
DOI: 10.1080/14697688.2019.1687926
Abstract: This paper examines portfolio strategies that incorporate individual and systematic higher-order moments, within a stochastic optimization framework with uncertain mean and covariance. Using weekly, daily, and 30-minute interval data on Chinese commodity futures, we show… read more here.
Keywords: incorporating higher; portfolio strategies; chinese commodity; higher moments ... See more keywords
Higher Moments for Optimal Balance Weighting in Causal Estimation
Sign Up to like & getrecommendations! Published in 2022 at "Epidemiology"
DOI: 10.1097/ede.0000000000001481
Abstract: We expand upon a simulation study that compared three promising methods for estimating weights for assessing the average treatment effect on the treated for binary treatments: generalized boosted models, covariate-balancing propensity scores, and entropy balance.… read more here.
Keywords: propensity scores; higher moments; balance; balancing propensity ... See more keywords