The performance of higher moments estimators: an empirical study

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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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Bibliographic Details
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
Format:	Article
Language:	English English English
Published:	2019
Subjects:	QA Mathematics QA276 Mathematical Statistics
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

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