We use an international dataset on 5‐min interval intraday data covering nine leading
markets and regions to construct measures of realized volatility, realized jumps, realized …

At long horizons, multiplicative compounding induces strong-to-extreme positive skewness
into stock returns; the magnitude of the effect is primarily determined by single-period …

The SKEW index of the Chicago Board Options Exchange (CBOE), launched in February
2011, measures the tail risk not fully captured by the VIX index. In this paper we introduce …

This paper documents the dynamics of the term structure of the implied volatility (IV) smirk of
Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows …

We use intraday data to construct measures of realized volatility, realized kurtosis, and
realized skewness of returns of six major exchange rates vis-à-vis the dollar. The currencies …

Bitcoin (BTC) returns exhibit pronounced positive skewness with a third central moment of
approximately 150% per year. They are well characterized by a mixture of Normals …

Current portfolios often underperform due to limited utilization of stock selection and a lack of
attention to multi-period trading. To address this issue, we propose an auto-portfolio system …

This study revisits the widely used assumptions in long-term asset allocation: the normal
distribution of long-horizon returns and the negligible impacts of estimation errors on the …

This paper explores how systematic higher order moments (co-skewness and co-kurtosis)
are priced in Borsa Istanbul. We tested the significance of higher order co-moments and …

Purpose Prior literature has shown that, theoretically, holding-period returns of a leveraged
exchange-traded fund (LETF) are generally negatively affected by the volatility of the …