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논문 리스트

2022
Geometric and arithmetic realized comoments
한국파생상품학회
배광일
논문정보
Publisher
선물연구
Issue Date
2022-06-30
Keywords
-
Citation
-
Source
-
Journal Title
-
Volume
30
Number
2
Start Page
89
End Page
113
DOI
ISSN
27136647
Abstract
The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized) geometric implied lower-order comoments yield neither geometric realized third comoment nor fourth moment. This is in contrast to previous studies that produce geometric realized third moment and arithmetic realized higher-order moments through lower-order implied moments. Second, arithmetic realized joint cumulants are obtained through complete Bell polynomials of lower-order joint cumulants. This study’s realized measures are unbiased estimators and they can, therefore, overcome the drawbacks of conventional realized measures.

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