Risks of heterogeneously persistent higher moments

Jozef Baruník and Josef Kurka

Papers from arXiv.org

Abstract: Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the cross-section of asset returns, implying a heterogeneous persistence structure of different sources of higher moment risks. Specifically, we find that idiosyncratic transitory shocks to volatility as well as idiosyncratic persistent shocks to skewness contain strong commonalities that are relevant to investors.

Date: 2021-04, Revised 2024-03
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2104.04264 Latest version (application/pdf)

Related works:
Journal Article: Risks of heterogeneously persistent higher moments (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2104.04264

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().