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accepted How to annualize skewness and kurtosis based on daily returns
Aug
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comment How to annualize skewness and kurtosis based on daily returns
Thanks again for your answers. and your indication about the assumption of i.i.d. Just to check, if I got that right: if I would base my computations on daily returns, the scaling would be n = 252 (or whatever no. of days I use)!? I am so sorry to ask so simple questions...
Aug
17
comment How to annualize skewness and kurtosis based on daily returns
Thanx for your answer. Especially for the second part. After reviewing Bob Jansen's post, I do see the link and the solution to my problem. Although, regarding the practical implementation, I still have some ambiguity: If I would apply the formula given for skewness, what would correspond to Z1? Or will this be replaced by Z12 as it initially is Zn? Additionally, as I will have more than n = 12 observations (i.e. 131 monthly returns in this case), can I still just apply this formula by summarizing the all 131 monthly returns and using n = 12? Thanx for the answer!
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comment How to annualize skewness and kurtosis based on daily returns
Thanks for your comment, Bob. Unfortunately, the answer is not really sufficient for my problem. I may have to clarify: I just need to calculate the annual skew and the only data I have are daily returns. To achieve that, can I just calculate the yearly returns (based on the daily returns) for each year individually and use the outcome as input to calculate the skewness? thanks in advance for the answer!
Aug
16
asked How to annualize skewness and kurtosis based on daily returns