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 รข variance, skewness and kurtosis, chosen in relation to contracts defined in MFBKM, i.e. volatility, cubic,...
| Main Authors: | , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2018
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/73561/ http://irep.iium.edu.my/73561/12/73561%20programme%20and%20unpublished%20schedule.pdf |