Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337244 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 30 [Issue:] 2 [Year:] 2022 [Pages:] 89-113
Publisher: 
Emerald, Leeds
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.
Subjects: 
Realized joint cumulants
Realized comoments
Log returns
Implied moments
Aggregation property
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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