A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures

Authors: Liu, Junjie ^a, Zhou, Qingnan ^a, Chen, Zhenlong ^{a, b, ⁎}

Source: In North American Journal of Economics and Finance March 2025 77

The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk

Authors: Azimli, Asil ^{a, ⁎}, Kalmaz, Demet Beton ^b

Source: In Economic Systems March 2025 49(1)

Mutual fund style drift measured using higher moments and its cash flow incentive

Authors: Chen, Qi ^a, Wang, Peng ^a, Yang, Dong ^{b, c, ⁎}

Source: In North American Journal of Economics and Finance January 2025 76

Higher moments interaction between the US treasury yields, energy assets, and green cryptos: Dynamic analysis with portfolio implications

Authors: Iqbal, Najaf ^{a, b, ⁎}, Umar, Zaghum ^c, Shaoyong, Zhang ^a, Sokolova, Tatiana ^d

Source: In Energy Economics January 2025 141

Risk spillover changes among commodity futures, stock and ESG markets: A study based on multidimensional higher order moment perspective

Authors: Yu, Peining ^a, Zhou, Luohui ^b, Chen, Zejun ^c, Li, Chujin ^{a, ⁎}

Source: In Finance Research Letters January 2025 71

Identifying Higher-Order Moment Risk Contagion Between the US Dollar Exchange Rate and China’s Major Asset Classes

Authors: Zongfeng Zou, Chao Zhang, Judong Li

Source: Mathematics, Vol 13, Iss 5, p 707 (2025)

Subject Terms: US dollar, financial contagion, co-higher-moments, extreme risk, major asset classes, Mathematics, QA1-939

File Description: electronic resource

Relation: https://www.mdpi.com/2227-7390/13/5/707; https://doaj.org/toc/2227-7390

Access URL: https://doaj.org/article/d332571c664548448331fc317222f595

Collision-energy dependence of deuteron cumulants and proton-deuteron correlations in Au+Au collisions at RHIC

Authors: M.I. Abdulhamid, B.E. Aboona, J. Adam, L. Adamczyk, J.R. Adams, I. Aggarwal, M.M. Aggarwal, Z. Ahammed, E.C. Aschenauer, S. Aslam, J. Atchison, V. Bairathi, J.G. Ball Cap, K. Barish, R. Bellwied, P. Bhagat, A. Bhasin, S. Bhatta, S.R. Bhosale, J. Bielcik, J. Bielcikova, J.D. Brandenburg, C. Broodo, X.Z. Cai, H. Caines, M. Calderón de la Barca Sánchez, D. Cebra, J. Ceska, I. Chakaberia, P. Chaloupka, B.K. Chan, Z. Chang, A. Chatterjee, D. Chen, J. Chen, J.H. Chen, Z. Chen, J. Cheng, Y. Cheng, S. Choudhury, W. Christie, X. Chu, H.J. Crawford, M. Csanád, G. Dale-Gau, A. Das, I.M. Deppner, A. Dhamija, P. Dixit, X. Dong, J.L. Drachenberg, E. Duckworth, J.C. Dunlop, J. Engelage, G. Eppley, S. Esumi, O. Evdokimov, O. Eyser, R. Fatemi, S. Fazio, C.J. Feng, Y. Feng, E. Finch, Y. Fisyak, F.A. Flor, C. Fu, C.A. Gagliardi, T. Galatyuk, T. Gao, F. Geurts, N. Ghimire, A. Gibson, K. Gopal, X. Gou, D. Grosnick, A. Gupta, W. Guryn, A. Hamed, Y. Han, S. Harabasz, M.D. Harasty, J.W. Harris, H. Harrison-Smith, W. He, X.H. He, Y. He, N. Herrmann, L. Holub, C. Hu, Q. Hu, Y. Hu, H. Huang, H.Z. Huang, S.L. Huang, T. Huang, X. Huang, Y. Huang, T.J. Humanic, M. Isshiki, W.W. Jacobs, A. Jalotra, C. Jena, A. Jentsch, Y. Ji, J. Jia, C. Jin, X. Ju, E.G. Judd, S. Kabana, D. Kalinkin, K. Kang, D. Kapukchyan, K. Kauder, D. Keane, A. Khanal, Y.V. Khyzhniak, D.P. Kikoła, D. Kincses, I. Kisel, A. Kiselev, A.G. Knospe, H.S. Ko, L.K. Kosarzewski, L. Kumar, M.C. Labonte, R. Lacey, J.M. Landgraf, J. Lauret, A. Lebedev, J.H. Lee, Y.H. Leung, N. Lewis, C. Li, D. Li, H-S. Li, H. Li, W. Li, X. Li, Y. Li, Z. Li, X. Liang, Y. Liang, R. Licenik, T. Lin, Y. Lin, M.A. Lisa, C. Liu, G. Liu, H. Liu, L. Liu, T. Liu, X. Liu, Y. Liu, Z. Liu, T. Ljubicic, O. Lomicky, R.S. Longacre, E.M. Loyd, T. Lu, J. Luo, X.F. Luo, L. Ma, R. Ma, Y.G. Ma, N. Magdy, D. Mallick, R. Manikandhan, S. Margetis, C. Markert, H.S. Matis, G. McNamara, O. Mezhanska, K. Mi, S. Mioduszewski, B. Mohanty, M.M. Mondal, I. Mooney, M.I. Nagy, A.S. Nain, J.D. Nam, M. Nasim, D. Neff, J.M. Nelson, D.B. Nemes, M. Nie, G. Nigmatkulov, T. Niida, T. Nonaka, G. Odyniec, A. Ogawa, S. Oh, K. Okubo, B.S. Page, R. Pak, S. Pal, A. Pandav, T. Pani, A. Paul, B. Pawlik, D. Pawlowska, C. Perkins, J. Pluta, B.R. Pokhrel, M. Posik, T. Protzman, V. Prozorova, N.K. Pruthi, M. Przybycien, J. Putschke, Z. Qin, H. Qiu, C. Racz, S.K. Radhakrishnan, A. Rana, R.L. Ray, R. Reed, H.G. Ritter, C.W. Robertson, M. Robotkova, M.A. Rosales Aguilar, D. Roy, P. Roy Chowdhury, L. Ruan, A.K. Sahoo, N.R. Sahoo, H. Sako, S. Salur, S. Sato, B.C. Schaefer, W.B. Schmidke, N. Schmitz, F-J. Seck, J. Seger, R. Seto, P. Seyboth, N. Shah, P.V. Shanmuganathan, T. Shao, M. Sharma, N. Sharma, R. Sharma, S.R. Sharma, A.I. Sheikh, D. Shen, D.Y. Shen, K. Shen, S.S. Shi, Y. Shi, Q.Y. Shou, F. Si, J. Singh, S. Singha, P. Sinha, M.J. Skoby, N. Smirnov, Y. Söhngen, Y. Song, B. Srivastava, T.D.S. Stanislaus, M. Stefaniak, D.J. Stewart, B. Stringfellow, Y. Su, A.A.P. Suaide, M. Sumbera, C. Sun, X. Sun, Y. Sun, B. Surrow, Z.W. Sweger, A.C. Tamis, A.H. Tang, Z. Tang, T. Tarnowsky, J.H. Thomas, A.R. Timmins, D. Tlusty, T. Todoroki, S. Trentalange, P. Tribedy, S.K. Tripathy, T. Truhlar, B.A. Trzeciak, O.D. Tsai, C.Y. Tsang, Z. Tu, J. Tyler, T. Ullrich, D.G. Underwood, I. Upsal, G. Van Buren, J. Vanek, I. Vassiliev, V. Verkest, F. Videbæk, S.A. Voloshin, F. Wang, G. Wang, J.S. Wang, J. Wang, K. Wang, X. Wang, Y. Wang, Z. Wang, J.C. Webb, P.C. Weidenkaff, G.D. Westfall, D. Wielanek, H. Wieman, G. Wilks, S.W. Wissink, R. Witt, J. Wu, X. Wu, B. Xi, Z.G. Xiao, G. Xie, W. Xie, H. Xu, N. Xu, Q.H. Xu, Y. Xu, Z. Xu, G. Yan, Z. Yan, C. Yang, Q. Yang, S. Yang, Y. Yang, Z. Ye, L. Yi, K. Yip, Y. Yu, H. Zbroszczyk, W. Zha, C. Zhang, D. Zhang, J. Zhang, S. Zhang, W. Zhang, X. Zhang, Y. Zhang, Z.J. Zhang, Z. Zhang, F. Zhao, J. Zhao, M. Zhao, J. Zhou, S. Zhou, Y. Zhou, X. Zhu, M. Zurek, M. Zyzak

Source: Physics Letters B, Vol 855, Iss , Pp 138560- (2024)

Subject Terms: Heavy-ion collisions, Deuteron production, Coalescence, Thermal model, Higher moments, Critical point, Physics, QC1-999

File Description: electronic resource

Relation: http://www.sciencedirect.com/science/article/pii/S0370269324001187; https://doaj.org/toc/0370-2693

Access URL: https://doaj.org/article/dc8fbf26b1164f5c949ea4dd9bcc6dcb

How connected is the oil-bank network? Firm-level and high-frequency evidence

Authors: Zhang, Yunhan ^{a, b}, Gabauer, David ^{c, d, e}, Gupta, Rangan ^f, Ji, Qiang ^{a, b, ⁎}

Source: In Energy Economics August 2024 136

Optimizing Portfolio in the Evolutional Portfolio Optimization System (EPOS)

Authors: Nikolaos Loukeris, Yiannis Boutalis, Iordanis Eleftheriadis, Gregorios Gikas

Source: Mathematics, Vol 12, Iss 17, p 2729 (2024)

Subject Terms: higher moments, Isoelastic Utility Function, Jordan–Elman networks, recurrent networks, time-lag recurrent networks, MLP, Mathematics, QA1-939

File Description: electronic resource

Relation: https://www.mdpi.com/2227-7390/12/17/2729; https://doaj.org/toc/2227-7390

Access URL: https://doaj.org/article/11af96702e7149bfabba4aa591b8e07a

Do average higher moments predict aggregate returns in emerging stock markets?

Authors: Sumaira Chamadia, Mobeen Ur Rehman, Muhammad Kashif

Source: Journal of Asian Business and Economic Studies, Vol 29, Iss 2, Pp 120-145 (2022)

Subject Terms: skewness, kurtosis, higher moments, return predictability, emerging markets, g10, g12, g15, g17, Economics as a science, HB71-74

File Description: electronic resource

Relation: https://doaj.org/toc/2515-964X

Access URL: https://doaj.org/article/ce29b825642b4a3fa6fccdd0e6d8ecd7

Semidefinite programming relaxation for portfolio selection with higher order moments

Authors: Sheng-zhi, Peng, Fu-sheng, Wang

Source: 2011 International Conference on Management Science & Engineering 18th Annual Conference Proceedings Management Science and Engineering (ICMSE), 2011 International Conference on. :99-104 Sep, 2011

Relation: 2011 International Conference on Management Science and Engineering (ICMSE)

On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns

Authors: Peterson Owusu Junior, Nagaratnam Jeyasreedharan, Imhotep Paul Alagidede

Source: Cogent Economics & Finance, Vol 10, Iss 1 (2022)

Subject Terms: Maximum likelihood, moment matching, generalized lambda distribution, high-frequency, Goodness-of-fit, higher moments, Finance, HG1-9999, Economic theory. Demography, HB1-3840

File Description: electronic resource

Relation: https://doaj.org/toc/2332-2039

Access URL: https://doaj.org/article/4e2e3f3bfa894a7bb68d8b161db1e6b5

Constrained Fuzzy Hierarchical Analysis for Portfolio Selection Under Higher Moments

Authors: Nguyen, T. T., Gordon-Brown, L.

Source: IEEE Transactions on Fuzzy Systems IEEE Trans. Fuzzy Syst. Fuzzy Systems, IEEE Transactions on. 20(4):666-682 Aug, 2012

Forecasting the volatility of European Union allowance futures with time-varying higher moments and time-varying risk aversion

Authors: Xinyu Wu, Xueting Mei, Zhongming Ding

Source: Frontiers in Environmental Science, Vol 10 (2022)

Subject Terms: European Union allowance futures, time-varying higher moments, time-varying risk aversion, GARCH-MIDAS-SK model, forecasting, Environmental sciences, GE1-350

File Description: electronic resource

Relation: https://www.frontiersin.org/articles/10.3389/fenvs.2022.973438/full; https://doaj.org/toc/2296-665X

Access URL: https://doaj.org/article/d410ecfa63364b3698920d254307b9df

Unbiased Adaptive Estimations of the Fourth-Order Cumulant for Real Random Zero-Mean Signal

Authors: Blagouchine, I. V., Moreau, E.

Source: IEEE Transactions on Signal Processing IEEE Trans. Signal Process. Signal Processing, IEEE Transactions on. 57(9):3330-3346 Sep, 2009

General Formulas for the Central and Non-Central Moments of the Multinomial Distribution

Authors: Frédéric Ouimet

Source: Stats, Vol 4, Iss 1, Pp 18-27 (2021)

Subject Terms: multinomial distribution, higher moments, central moments, non-central moments, Statistics, HA1-4737

File Description: electronic resource

Relation: https://www.mdpi.com/2571-905X/4/1/2; https://doaj.org/toc/2571-905X

Access URL: https://doaj.org/article/ff372d2242ec4057bcb5926bc1a633b2

The performance of the Indian stock market during COVID-19

Authors: Rashmi Chaudhary, Priti Bakhshi, Hemendra Gupta

Source: Investment Management & Financial Innovations, Vol 17, Iss 3, Pp 133-147 (2020)

Subject Terms: coronavirus, crisis period, GLS regression, higher moments, volatility, Finance, HG1-9999

File Description: electronic resource

Relation: https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13985/IMFI_2020_03_Chaudhary.pdf; https://doaj.org/toc/1810-4967; https://doaj.org/toc/1812-9358

Access URL: https://doaj.org/article/d6a6897169ab45ac821bdaab9edd58b2

Limits of thermalization in relativistic heavy ion collisions

Authors: Sourendu Gupta, Debasish Mallick, Dipak Kumar Mishra, Bedangadas Mohanty, Nu Xu

Source: Physics Letters B, Vol 829, Iss , Pp 137021- (2022)

Subject Terms: Thermalization, Higher moments, Fluctuations, Hadron resonance gas, Heavy-ion collisions, Critical point, Physics, QC1-999

File Description: electronic resource

Relation: http://www.sciencedirect.com/science/article/pii/S0370269322001551; https://doaj.org/toc/0370-2693

Access URL: https://doaj.org/article/02fe46922a8e4f7ba9ce9a0ce799e43c

Dynamic Portfolio Analysis Based on Realized Higher Moments

Authors: Cui-xia, Jiang, Jing-dong, Liu

Source: 2009 Fifth International Conference on Natural Computation Natural Computation, 2009. ICNC '09. Fifth International Conference on. 6:360-364 Aug, 2009

Relation: 2009 Fifth International Conference on Natural Computation (ICNC)

Dynamic Portfolio Selection Under Higher Moments

Authors: Xu, Qi-Fa, Jiang, Cui-Xia, Kang, Pu

Source: 2007 International Conference on Machine Learning and Cybernetics Machine Learning and Cybernetics, 2007 International Conference on. 5:2488-2493 Aug, 2007

Relation: 2007 International Conference on Machine Learning and Cybernetics