Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection
نویسندگان
چکیده
منابع مشابه
Forward-looking measures of higher-order dependencies with an application to portfolio selection
This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We implement the estimator using a sample of US stocks. We show that the higher-order dependencies vary heavily ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2385228