Brinkmann, Felix; Kempf, Alexander; Korn, Olaf - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014
This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...