英文标题：
《On the Surprising Explanatory Power of Higher Realized Moments in
Practice》
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作者：
Keren Shen, Jianfeng Yao and Wai Keung Li
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最新提交年份：
2016
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英文摘要：
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market and on the monthly or weekly scale. In this paper, we conduct an extensive empirical analysis to investigate the forecasting abilities of realized skewness and realized kurtosis towards individual stock\'s future return and variance in the daily scale. It is found that realized kurtosis possesses significant forecasting power for the stock\'s future variance. In the meanwhile, realized skewness is lack of explanatory power for the future daily return for individual stocks with a short horizon, in contrast with the existing literature.
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中文摘要：
近年来，人们引入了从日内收益率计算的高阶已实现矩。文献表明，已实现的偏度是解释未来资产回报的一个重要因素。然而，文献主要关注整个市场以及月度或每周规模。在本文中，我们进行了广泛的实证分析，考察了实现偏度和实现峰度在日尺度上对个股未来收益和方差的预测能力。研究发现，已实现峰度对股票的未来方差具有显著的预测能力。同时，与现有文献相比，意识到的偏斜对于短期内的个别股票的未来日收益率缺乏解释力。
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分类信息：

一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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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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