Risks of heterogeneously persistent higher moments

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00599186" target="_blank" >RIV/67985556:_____/24:00599186 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/24:10490067
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1057521924005052?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1057521924005052?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.irfa.2024.103573" target="_blank" >10.1016/j.irfa.2024.103573</a>

Result language
angličtina
Original language name
Risks of heterogeneously persistent higher moments
Original language description
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. In particular, we find that both idiosyncratic transitory shocks to volatility and idiosyncratic persistent shocks to skewness share strong commonalities that are relevant to investors.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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