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
Sovereign bond return prediction with realized higher moments
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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
Realized higher-order comoments
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DOI: 10.1080/14697688.2020.1759816
Abstract: We propose a new realized third-order comoment and new realized fourth-order joint cumulants, which are standardized comoments. They are obtained from sub-period returns and lower-order comoments and satisfy A. Neuberger’s (Realized skewness. Rev. Financ. Stud.,… read more here.
Keywords: realized higher; order; volatility; higher order ... See more keywords