Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments? time-series and cross-sectional properties. We investigate if this week?'s realized moments are informative for the cross-section of next week'?s stock returns. We...