英文标题：
《Probabilistic and statistical properties of moment variations and their
use in inference and estimation based on high frequency return data》
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作者：
Kyungsub Lee
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最新提交年份：
2015
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英文摘要：
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions with quadratic variation method but for the computational tractability, we use a square root stochastic volatility model for the derivations of moment conditions for estimations. Using the S\\&P 500 index high frequency data, the realized versions of the moment variations is used for the estimation of a stochastic volatility model. We propose a simple estimation method of a stochastic volatility model using the sample averages of the variations and ARMA estimation. In addition, we compare the results with a generalized method of moments estimation based on the successive relation between realized moments and their lagged values.
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中文摘要：
我们讨论了基于变异的财务收益三阶矩和四阶矩的概率性质，作为收益分布实际矩的估计量。力矩变化是在非参数假设下用二次变差法定义的，但为了便于计算，我们使用平方根随机波动率模型来推导力矩条件进行估计。利用标准普尔500指数高频数据，矩变化的实现版本用于估计随机波动率模型。我们提出了一种简单的估计随机波动率模型的方法，使用样本平均值的变化和ARMA估计。此外，我们将结果与基于已实现矩与其滞后值之间的连续关系的广义矩估计方法进行了比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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