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Keywords: Implied moments
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2026) 34 (1): 44–60.
Published: 30 January 2026
... coskewness and kurtosis are predicted by implied moments and other lagged ex post estimators. (7) F M i r e a l = ∑ j = 1 N ( ( Δ S i , t j ) 4 + 6 ( Δ S i , t j ) 2 ( Δ V i , t j ) + 4 ( Δ S i , t j...
Includes: Supplementary data
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (2): 89–113.
Published: 21 February 2022
.... This is in contrast to previous studies that produce geometric realized third moment and arithmetic realized higher-order moments through lower-order implied moments. Second, arithmetic realized joint cumulants are obtained through complete Bell polynomials of lower-order joint cumulants. This study’s realized...
