Tag Archives: equity returns

Predictability of kurtosis and skewness in S&P constituents

How much predictability is there for these higher moments? Data The data consist of daily returns from the start of 2007 through mid 2011 for almost all of the S&P 500 constituents. Estimates were made over each half year of data.  Hence there are 8 pairs of estimates where one estimate immediately follows the other. … Continue reading

Posted in Quant finance, R language | Tagged , , , | 3 Comments