Choe, Geon Ho; Lee, Kyungsub - In: Journal of Futures Markets 34 (2014) 11, pp. 1040-1061
<section xml:id="fut21635-sec-0001"> We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moment variations computed from high‐frequency return series are good...</section>