英文标题：
《The Aggregation Property and its Applications to Realised Higher Moments》
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作者：
Carol Alexander and Johannes Rauch
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最新提交年份：
2017
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英文摘要：
We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we classify new types of model-free realised characteristics for which risk premia may be estimated without bias. We focus on the aggregation property for multivariate martingales and log martingales, and then define realised third and fourth moments which allow long-term higher-moment risk premia to be measured, efficiently and without bias, using high-frequency returns.
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中文摘要：
我们开发了一个通用的多元聚合属性，该属性包含纽伯格（2012）和邦达连科（2014）独立引入的属性的不同版本。通过这种方式，我们对新类型的无模型实现特征进行了分类，对于这些特征，可以无偏差地估计风险溢价。我们关注多元鞅和对数鞅的聚集性，然后定义实现的三阶矩和四阶矩，利用高频回报可以有效且无偏差地测量长期高阶矩风险溢价。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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