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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.
- 전남대학교
- KCI
- 선물연구
저자 정보
| 이름 | 소속 |
|---|---|
| 배광일 | 경영학부 |