Superkurtosis
(2022)
Journal Article
Degiannakis, S., Filis, G., Siourounis, G., & Trapani, L. (2023). Superkurtosis. Journal of Money, Credit and Banking, 55(8), 2061-2091. https://doi.org/10.1111/jmcb.12988
Very little is known on how traditional risk metrics behave under intraday trading. We fill this void by examining the finiteness of the returns' moments and assessing the impact of their infinity in a risk management framework. We show that when int... Read More about Superkurtosis.