Tails of higher-order moments with dominatedly varying summands∗
Sign Up to like & getrecommendations! Published in 2019 at "Lithuanian Mathematical Journal"
DOI: 10.1007/s10986-019-09444-x
Abstract: Let ξ1, . . . , ξn be dependent real-valued random variables with dominatedly varying distribution functions. We investigate the asymptotic behavior of the tail-moment E\( \left({\left({S}_n^{\xi}\right)}^m{1}_{\left\{{S}_n^{\upxi}>x\right\}}\right) \), where m is a nonnegative integer, and… read more here.
Keywords: order moments; dominatedly varying; higher order; tails higher ... See more keywords
Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS
Sign Up to like & getrecommendations! Published in 2021 at "Energy Policy"
DOI: 10.1016/j.enpol.2021.112428
Abstract: Abstract The Phase III of the European Union Emission Trading System (EU ETS) is significantly different from the previous Phases in terms of price trajectory and operational mechanism. Against this background, this study reveals the… read more here.
Keywords: order; order moments; energy markets; carbon energy ... See more keywords
An investigation of higher order moments of empirical financial data and their implications to risk
Sign Up to like & getrecommendations! Published in 2022 at "Heliyon"
DOI: 10.1016/j.heliyon.2022.e08833
Abstract: Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look… read more here.
Keywords: risk; time windows; order; order moments ... See more keywords
Trading volume and realized higher-order moments in the Australian stock market
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Behavioral and Experimental Finance"
DOI: 10.1016/j.jbef.2020.100413
Abstract: Abstract The volume-realized volatility relationship has been extensively documented in the extant financial literature. However, minimal attention has been accorded to volume-realized skewness and volume-realized kurtosis relationships. Our insight in this paper is that these… read more here.
Keywords: volume; trading; higher order; volume realized ... See more keywords
Extended AIC model based on high order moments and its application in the financial market
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.02.159
Abstract: Abstract In this paper, an extended method of traditional Akaike Information Criteria(AIC) is proposed to detect the volatility of time series by combining it with higher order moments, such as skewness and kurtosis. Since measures… read more here.
Keywords: order; time series; financial market; order moments ... See more keywords
A misspecification test for the higher order co-moments of the factor model
Sign Up to like & getrecommendations! Published in 2019 at "Statistics"
DOI: 10.1080/02331888.2019.1566907
Abstract: ABSTRACT The traditional estimation of higher order co-moments of non-normal random variables by the sample analog of the expectation faces a curse of dimensionality, as the number of parameters increases steeply when the dimension increases.… read more here.
Keywords: factor; order moments; factor model; higher order ... See more keywords
Ghost images reconstructed from fractional-order moments with thermal light
Sign Up to like & getrecommendations! Published in 2018 at "Chinese Physics B"
DOI: 10.1088/1674-1056/27/12/123401
Abstract: We present the joint probability density function (PDF) between the bucket signals and reference signals in thermal light ghost imaging, by regarding these signals as stochastic variables. The joint PDF allows us to examine the… read more here.
Keywords: ghost images; ghost; fractional order; order moments ... See more keywords
Fractional Low-Order Moments Based DOA Estimation With Co-Prime Array in Presence of Impulsive Noise
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Access"
DOI: 10.1109/access.2021.3057381
Abstract: Direction of arrival (DOA) estimation with co-prime array is a hot issue in array signal processing. By using co-prime array structure, the degrees of freedom has been greatly improved, which can estimate much more sources… read more here.
Keywords: prime array; array; order; order moments ... See more keywords
Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures
Sign Up to like & getrecommendations! Published in 2019 at "Australian Journal of Management"
DOI: 10.1177/0312896219879974
Abstract: Using daily S&P 500 spot index and index futures data, this article examines the effects of conditional skewness and kurtosis parameters of a skew-Student density function on dynamic minimum-variance hedging strategies. We find an important… read more here.
Keywords: index futures; order moments; variance; higher order ... See more keywords
Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain
Sign Up to like & getrecommendations! Published in 2022 at "PLOS ONE"
DOI: 10.1371/journal.pone.0277924
Abstract: Interactions between stock and cryptocurrency markets have experienced shifts and changes in their dynamics. In this paper, we study the connection between S&P500 and Bitcoin in higher-order moments, specifically up to the fourth conditional moment,… read more here.
Keywords: order moments; time frequency; bitcoin p500; bitcoin ... See more keywords