The performance of higher moments estimators: an empirical study
This study investigates the performance of higher order moments, realised from the model-free Bakshi-Kapadia-Madan (MFBKM). We concentrate on investigating higher order option-implied moments â variance, skewness and kurtosis, chosen in relation to contracts defined in MFBKM, i.e. volatility, cubic,...
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| Format: | Article |
| Language: | English English English |
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2019
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| Online Access: | http://irep.iium.edu.my/73561/ http://irep.iium.edu.my/73561/12/73561%20programme%20and%20unpublished%20schedule.pdf http://irep.iium.edu.my/73561/18/73561_The%20Performance%20of%20Higher%20Moments%20Estimators.pdf http://irep.iium.edu.my/73561/19/73561_The%20Performance%20of%20Higher%20Moments_wos.pdf |
| _version_ | 1848787818516578304 |
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| author | Harun, Hanani Farhah Abdullah, Mimi Hafizah |
| author_facet | Harun, Hanani Farhah Abdullah, Mimi Hafizah |
| author_sort | Harun, Hanani Farhah |
| building | IIUM Repository |
| collection | Online Access |
| description | This study investigates the performance of higher order moments, realised from the model-free Bakshi-Kapadia-Madan (MFBKM). We concentrate on investigating higher order option-implied moments â variance, skewness and kurtosis, chosen in relation to contracts defined in MFBKM, i.e. volatility, cubic, and quartic contract. The three approaches adopted in order to estimate the integrals of the defined MFBKM contracts are the basic (trapezoidal-rule), adapted (single-combined)and advanced method (cubic-spline). The sample data is extracted from DJIA index options data, which covers the period from January 2009 until December 2015. The results show that the advanced method performs
poorly in estimating the MFBKM, especially in the case of skewness and kurtosis integrals estimation. The advanced method outperforms the other approaches in the case of the variance estimation. In estimating both model-free skewness and kurtosis, the adapted method is found to perform the best, instead. |
| first_indexed | 2025-11-14T17:30:58Z |
| format | Article |
| id | iium-73561 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T17:30:58Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-735612020-09-05T00:29:24Z http://irep.iium.edu.my/73561/ The performance of higher moments estimators: an empirical study Harun, Hanani Farhah Abdullah, Mimi Hafizah QA Mathematics QA276 Mathematical Statistics This study investigates the performance of higher order moments, realised from the model-free Bakshi-Kapadia-Madan (MFBKM). We concentrate on investigating higher order option-implied moments â variance, skewness and kurtosis, chosen in relation to contracts defined in MFBKM, i.e. volatility, cubic, and quartic contract. The three approaches adopted in order to estimate the integrals of the defined MFBKM contracts are the basic (trapezoidal-rule), adapted (single-combined)and advanced method (cubic-spline). The sample data is extracted from DJIA index options data, which covers the period from January 2009 until December 2015. The results show that the advanced method performs poorly in estimating the MFBKM, especially in the case of skewness and kurtosis integrals estimation. The advanced method outperforms the other approaches in the case of the variance estimation. In estimating both model-free skewness and kurtosis, the adapted method is found to perform the best, instead. 2019-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/73561/12/73561%20programme%20and%20unpublished%20schedule.pdf application/pdf en http://irep.iium.edu.my/73561/18/73561_The%20Performance%20of%20Higher%20Moments%20Estimators.pdf application/pdf en http://irep.iium.edu.my/73561/19/73561_The%20Performance%20of%20Higher%20Moments_wos.pdf Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2019) The performance of higher moments estimators: an empirical study. Malaysian Journal of Mathematical Sciences, 13 (SI). pp. 35-50. ISSN 18238343 |
| spellingShingle | QA Mathematics QA276 Mathematical Statistics Harun, Hanani Farhah Abdullah, Mimi Hafizah The performance of higher moments estimators: an empirical study |
| title | The performance of higher moments estimators: an empirical study |
| title_full | The performance of higher moments estimators: an empirical study |
| title_fullStr | The performance of higher moments estimators: an empirical study |
| title_full_unstemmed | The performance of higher moments estimators: an empirical study |
| title_short | The performance of higher moments estimators: an empirical study |
| title_sort | performance of higher moments estimators: an empirical study |
| topic | QA Mathematics QA276 Mathematical Statistics |
| url | http://irep.iium.edu.my/73561/ http://irep.iium.edu.my/73561/12/73561%20programme%20and%20unpublished%20schedule.pdf http://irep.iium.edu.my/73561/18/73561_The%20Performance%20of%20Higher%20Moments%20Estimators.pdf http://irep.iium.edu.my/73561/19/73561_The%20Performance%20of%20Higher%20Moments_wos.pdf |