Bae, Kwangil - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 89-113
The author investigates realized comoments that overcome the drawback of conventional ones and derive the following … realized third comoment nor fourth moment. 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 …