Second and higher moments of fundamentals: A literature review
这篇文献综述梳理了基础变量二阶及更高阶矩的最新研究进展，涵盖其存在性、形成机制以及对金融市场和宏观经济的影响，发现时变波动和非高斯冲击普遍存在，且企业间的颗粒网络有助于解释矩的起源，实证表明这些矩对资产价格和宏观变量有强预测力。
Abstract This literature review outlines the recent progress in fundamental second and higher moments of research. We survey the moments’ existence, formation, and financial market and macroeconomic implications. Research shows that time‐varying volatility and non‐Gaussian shocks exist throughout all measures of fundamentals at both the micro‐ and macro levels. In addition, the granular network among firms helps explain the origin of fundamental second and higher moments. Empirical evidence shows that the moments have strong predictive power on asset prices and macroeconomic variables. We also highlight several areas where more research is needed to better understand the moments.