IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v57y2021i15p4473-4493.html
   My bibliography  Save this article

Can Mixed-Frequency Data Improve the Higher-Order Moments Portfolio Performance?

Author

Listed:
  • Shuang Zhao
  • Wanbo Lu
  • Muhammad Wajid Raza
  • Dong Yang

Abstract

In the presence of non-normally distributed asset returns, an optimal portfolio selection should consider higher-order (co-)moments when no sampling errors exist. However, the curse of dimensionality has already been a serious concern in mean-variance analyses; higher-order (co-)moments also face the same dilemma. This study uses mixed-frequency (MF) data under the assumption that stock returns are generated by a mixed-data sampling (MIDAS) regression model, which shows to provide well-improved estimates for the covariance, co-skewness, and co-kurtosis matrices for higher dimension. We discover that the new, improved estimates used in higher-order (co-)moment portfolio selections can dominate the other existing structured estimates from an out-of-sample perspective in most instances.

Suggested Citation

  • Shuang Zhao & Wanbo Lu & Muhammad Wajid Raza & Dong Yang, 2021. "Can Mixed-Frequency Data Improve the Higher-Order Moments Portfolio Performance?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(15), pages 4473-4493, December.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:15:p:4473-4493
    DOI: 10.1080/1540496X.2020.1785862
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2020.1785862
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2020.1785862?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    3. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:57:y:2021:i:15:p:4473-4493. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.