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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Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
Format:	Conference or Workshop Item
Language:	English
Published:	2018
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

id	iium-73561
recordtype	eprints
spelling	iium-735612019-08-08T01:21:20Z 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. 2018 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/73561/12/73561%20programme%20and%20unpublished%20schedule.pdf Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2018) The performance of higher moments estimators: an empirical study. In: Conference on Mathematics, Informatics and Statistics (CMIS2018), 29th-31st October 2018, Kuala Terengganu, Terengganu. (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	QA Mathematics QA276 Mathematical Statistics
spellingShingle	QA Mathematics QA276 Mathematical Statistics Harun, Hanani Farhah Abdullah, Mimi Hafizah The performance of higher moments estimators: an empirical study
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.
format	Conference or Workshop Item
author	Harun, Hanani Farhah Abdullah, Mimi Hafizah
author_facet	Harun, Hanani Farhah Abdullah, Mimi Hafizah
author_sort	Harun, Hanani Farhah
title	The performance of higher moments estimators: an empirical study
title_short	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_sort	performance of higher moments estimators: an empirical study
publishDate	2018
url	http://irep.iium.edu.my/73561/ http://irep.iium.edu.my/73561/12/73561%20programme%20and%20unpublished%20schedule.pdf
first_indexed	2023-09-18T21:44:17Z
last_indexed	2023-09-18T21:44:17Z
_version_	1777413346169978880

The performance of higher moments estimators: an empirical study

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