Quant Nugget 4 : Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics

If the distribution of a financial variable is highly non-normal, as is the case for the monthly return of some hedge funds or options, how do we compute the projected annualized skewness and kurtosis? We address this question in greater generality, projecting all the summary statistics of the financial variables, in addition to skewness and kurtosis, to arbitrary horizons, in addition to one year. Fully documented MATLAB code is also provided

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Year of publication:	2010
Authors:	Meucci, Attilio
Publisher:	[2010]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010
Classification:	C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013141363