文章基本信息

标题：Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions
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作者：Giuseppe Orlando ; Giuseppe Orlando ; Giuseppe Orlando 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2021
卷号：9
期号：1
页码：88
DOI：10.3390/risks9050088
语种：English
出版社：MDPI, Open Access Journal
摘要：The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some literature, we find that the realized distributions of logarithmic returns, scaled or not by the standard deviations, are skewed and that they may be better fitted by t-skew distributions. Our finding holds true across asset classes, maturity and developed and developing markets. This may explain why models based on dynamic conditional score (DCS) have superior performance when the underlying distribution belongs to the t-skew family. Finally, we show how sampling and distribution of returns are strictly connected. This is of great importance as, for example, extrapolating yearly scenarios from daily performances may prove not to be correct.