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Statistical Features of Asset Pricing最新文献

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Skewness and Kurtosis Persistence: Conventional vs. Robust Measures 偏度和峰度持久性:传统与稳健度量
Pub Date : 2011-06-13 DOI: 10.2139/ssrn.1857653
A. Ergun
Recently, independent of each other, there has been interest in (i) time-variation in higher-order moments; (ii) idiosyncratic skewness and predictability of skewness in the asset pricing context; and (iii) robust measures of skewness and kurtosis. The second literature questions the usefulness of past skewness as a predictor of future skewness, arguing that skewness may not exhibit strong enough persistence. We look at an intersection of these three literatures and study the persistence (in the time-series) of conventional and robust measures of higher-order moments for eight financial series. Conventional and robust measures, when the moments exist, are highly correlated. Furthermore, robust skewness and kurtosis measures exhibit as much or more persistence as the conventional measures. The results suggest that one could consider robust measures, instead of the conventional measures, in the asset pricing context.
最近,人们对(i)高阶矩的时变产生了兴趣,这是相互独立的;(ii)资产定价背景下的特殊偏性和偏性的可预测性;(iii)稳健的偏度和峰度测量。第二篇文献质疑过去偏度作为预测未来偏度的有用性,认为偏度可能不会表现出足够强的持久性。我们研究了这三个文献的交集,并研究了八个金融序列的高阶矩的常规和鲁棒度量的持久性(在时间序列中)。当矩存在时,传统的和稳健的度量是高度相关的。此外,稳健的偏度和峰度测量表现出与传统测量一样多或更多的持久性。结果表明,在资产定价的背景下,人们可以考虑稳健的措施,而不是传统的措施。
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引用次数: 5
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Statistical Features of Asset Pricing
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